I was warned off the train to Pilar (also by a local) Most of the people were very poor, and there were many beggers on the train, but as I said there was an armed guard all the way.
The best advice, as always, is dress down, do nothing to make yourself stand out, and keep your rolex hidden.

If you must give anything to the beggers then 25 or 50 centivos (ten donations of 50c and they are at minimum wage level) Give more and you stand out as an extrajero with too much money.
But as I say we pass through many very poor areas and the station is not in the most salubrious district, but I never felt threatened.
Words of advice are always welcome, but they should be advice to help enjoy this wonderful city, not put people off experiencing its best sites.