One point of tension develops when Balducci brings the Arab to Daru's schoolhouse. Daru is not prepared and is not willing to take charge of a prisoner, much less escort him to the nearest town. Balducci almost has to force Daru to take the Arab.
Another tense moment comes later that night, when Daru and the Arab have gone to bed. Daru hears the Arab moving around and wonders if he might need his gun to protect himself. Then he thinks the Arab might be trying to escape and almost wishes that he would.
A third point of tension comes in the decision the Arab makes about his destiny. Daru leads him to a fork in the road and tells him which path leads to prison and which one to freedom. It is strange that the Arab chooses the road that will lead to imprisonment.
The final tense moment comes at the end of the story, which you will need to discover for yourself.