Sure, bring it. Who cares if you're the only one - dare to be a rebel, dare to be an individualist. The Army loves to see that kind of attitude in a new cadet. Challenge the Cadet In The Red Sash to a quick game before you report to him.
While you're standing in line waiting around for things to start, keep it in your pocket so you can quickly access it to pass the time. After all, your enjoyment and well-being is very important to the Army. When those long boring speeches and lectures begin, you can play Warlock or Halo while the rest of you classmates pay attention.
See if you can figure out a way to play with your Nintendo DS while marching, I'm sure there's a way to hide it so you can have fun and train at the same time.
And after lights-out while others are sleeping, you can hone your skills on your game as you play to unwind. After all, those finger skills are going to last you a lifetime.