ON THE SET WITH -- Arnold Schwarzenegger; Big Guy. Big Star. Big Deal, Baby.

It was just a few days before Arnold Schwarzenegger flew to New York to start filming in the real Times Square. On a chilly morning here, he flung open a door overlooking a glittering replica of the New York scene. Mock rain tumbled out of cylinders overhead. The actor stood, cool, facing a Bad Guy gripping a scythe.

John McTiernan, the director of the movie being filmed, "Last Action Hero," yelled, "Cut!" The rain stopped. Mr. Schwarzenegger, arguably the town's biggest star in more ways than one, shruged and walked from the cameras.

A young boy, the son of a crew member, stared at him, speechless. Mr. Schwarzenegger -- everyone in Hollywood calls him Arnold -- opened his hand, palm upward, to the boy.

"Let's have five," he said. "Five high. Five low. Too slow."

The boy laughed. Mr. Schwarzenegger posed for a photo with some young women, his bulging forearms on their shoulders. An assistant director walked over and apologized for the delay.

Mr. Schwarzenegger shouted in mock anger: "I'm sick and tired of the way things are under your leadership!" Everyone laughed, including Mr. Schwarzenegger, who walked to his trailer and lighted a big cigar.

In contrast to other movie stars, Mr. Schwarzenegger, at 45, seems a little less obsessed with his age, his career and his future. Not that he doesn't take them very seriously. But somehow his stardom seems a fluke. And at a minimum of $15 million a picture, he can only shake his head in bewilderment.

"Well, look, most actors take themselves too seriously," he said, blowing smoke rings in his trailer at the Sony Studios in Culver City. "The trick is to take seriously your work, but to be able to laugh at what you do. I don't take any of this so seriously.

"It's no different than me taking bodybuilding seriously," he added. "If somebody talks to me about bodybuilding in a very serious way, I say, 'Hey, wait a minute, what are you talking about?' Let's be honest. It's nonsense. Fifty guys standing around in their little posing trunks with oil slapped on their body. Showing off and posing in front of 5,000 people. It's a joke."

His new film, which has largely been shot in Los Angeles but is shooting in New York until March 16, is something of a fantasy joke. The film is about a movie hero named Jack Slater (played by Mr. Schwarzenegger) and his adventures with a boy who is blasted out of his theater seat into a movie-within-a-movie. To blur the line between reality and fantasy, Mr. Schwarzenegger actually appears briefly as himself, along with his wife, Maria Shriver, at a premiere for the film-within-a-film. The movie also features Art Carney, Charles Dance, F. Murray Abraham, Anthony Quinn and Mercedes Ruehl.

While in New York, Mr. Schwarzenegger follows a typically rigorous regimen. He spends most mornings at World Gym near Lincoln Center. Later, he drops in (accompanied by plenty of photographers) to his favorite restaurant in town, Planet Hollywood on West 57th Street. He happens to own it, along with his pals Bruce Willis, John Hughes and Sylvester Stallone. And in the evening, he goes to Times Square to make his movie.

Mr. Schwarzenegger is not quite in the De Niro or Pacino mode of total absorption into his character.

With a degree in business and economics from the University of Wisconsin, and with an unerring sense of knowing how to sell himself, Mr. Schwarzenegger is on the phone about his production company, Oak Productions (as a bodybuilder he was known as the Austrian oak), his real-estate holdings and his restaurants -- Planet Hollywood (in New York; Newport Beach, Calif., and Cancun, Mexico) and Schatzi in Santa Monica, Calif. He was chairman of President George Bush's Council on Physical Fitness and Sports.

In Hollywood, while Mr. Schwarzenegger was making phone calls, Mr. McTiernan, who directed him in the highly successful 1987 film "Predator," sat slumped in his chair, exhausted. Mr. McTiernan had been working 14-hour days, almost seven days a week, for five months, to complete the Columbia Pictures film in time to open in June.

"Kidding himself has always been part of the essence of Arnold's appeal," Mr. McTiernan said. "There's always a wink in what he does. Arnold has a huge ego, but not in the sense that that word is normally used. He's not insecure. He's not threatened. He can let people laugh at him. He's very unusual in that way. He's probably the most rational star I've ever met. He's not really an actor. He has a whole other life. His ego isn't at stake in this."

In the movie-within-a-movie, Mr. Schwarzenegger kids himself remorselessly. "It was Arnold's idea to keep making fun of himself," Mr. McTiernan said. "In one scene, he goes to a premiere with Maria, and she whispers in his ear, while smiling at the cameras, ' Please don't plug the restaurants this time.' It's what she often tells him. And of course, he does it and she yanks him away."

Ms. Shriver, who is pregnant, has visited the set several times with the couple's two daughters, Katherine Eunice, 3, and Christina Aurelia, who is nearly 2.

In his trailer between scenes, Mr. Schwarzenegger sipped a glass of water. He joked with an interviewer whose tape recorder had faltered.

"What is this?" he asked. "You really work for a crummy physical education monthly, don't you?"

Asked about his success, Mr. Schwarzenegger shrugged. "I do movies people like to see," he said. "It's that simple. You try to make sure the movies are memorable. Not just another movie. You've got to have a feeling for hipness. You milk certain lines. 'Hasta la vista, baby,' or, 'I lied.' You go a little over the top. People love it. Kids love it. And you do some athletic stuff, some fitness, and people think you're cool."

He sat a bit like a rajah, making phone calls and chatting with his assistant. There was a knock on the door. It was his nephew, Patrick Knapp, a law student.

The actor fingered the young man's trendy leather jacket. "Red leather," he said. "Very nice feminine touch."

"Thank you," the nephew said, grinning.

Mr. Schwarzenegger straightened his jeans (size 36-34). At 6 feet 1 and 200 pounds, he is, of course, in terrific physical shape.

Told that he not only looks remarkably fit but also seems quite assured at 45, an age when most stars are worried about their age and physique, he laughed. "Why worry?" he said. "I feel better than ever. I look better than ever. It has nothing to do with actors but with people in general.

"I go to the gym every day for probably the last 27 years. I know the characters that come through there. Some of them are worried about every little thing. And some don't give a damn about anything. Some people are continually running around with bottles of water, making sure they continually have a flow of water, so they can clear their bodies and don't get kidney stones. Give me a break.

"People come to me in the gym and say, 'Arnold, I'm so depressed. I was in front of the mirror and saw a wrinkle around my eyes. What should I do?' And I think to myself: 'Why worry? Big deal.'

"Bob Rafelson, the director, said to me years ago: 'Don't do any war movies or Westerns till you're 40, 45, because that's when you start looking interesting. You have good bone structure; it'll get better.'

"I was insulted. I thought, wait a minute, I look great. What's he knocking my face for? But he was so right. Now I understand it. You get to be a certain age -- it's a plus."

Maybe for Mr. Schwarzenegger. Largely because the characters he plays are not especially young, he views his future in movies as following the path of stars who aged elegantly, like Cary Grant.

No star in the last decade has equalled his success. His most recent film, "Terminator 2: Judgment Day," grossed $490 million worldwide. His 1990 movie, "Total Recall," grossed $262 million worldwide. His comedies, including "Twins" and "Kingergarten Cop," were big hits.

Mr. Schwarzenegger made his directorial debut in 1990 with an episode of Home Box Office's "Tales From the Crypt." Recently, he directed a two-hour film, "Christmas in Connecticut," for the Turner Network. It starred Dyan Cannon, Tony Curtis and Kris Kristofferson.

"I love directing," he said. "I like it more than acting. The responsibility you have for everything -- I love it."

An aide knocked on the door and said filming was about to start. Mr. Schwarzenegger was asked about the possibility of a political career. Despite his marriage to a member of the Kennedy family, he is a Republican. He has been mentioned as a potential gubernatorial candidate.

"Why should I run for Governor?" he asked. "Look at the life I have now. I can sit here casually, smoking a cigar. I couldn't do that in the Governor's office. They'd attack me immediately and say I look like a gangster."

Is it complicated for him to be a Republican in the Kennedy family? "No," Mr. Schwarzenegger said as he left his trailer in the midday sun and walked to the same sound stage where "The Wizard of Oz" and "Singing in the Rain" were filmed.

"The trick is to have a sense of humor -- not to take it too seriously," he said. "That's what it's all about. A sense of humor."