Is there any reason to use an AFCI receptacle rather than replacing the breaker with an AFCI type? It seems that providing protection on the whole circuit makes much more sense than to just one receptacle. Are there areas where AFCI protected circuits are not allowed?
AFCI breakers generally have ground fault protection also, whereas I do not believe AFCI receptacles do. This is sometimes a problem on houses with "shared neutral" circuits (sometimes called Edison Circuits) as the ground fault protection logic will trip the breaker upon application of a load.
There are (or have been, not sure bout 2014 NEC) restrictions on the use of AFCI receptacles: you are/were not allowed to use them unless metal clad conduit was used to protect wiring from the breaker panel to the first receptacle on the circuit (the first receptacle is where you install the AFCI, it protects all downstream receptacles on the circuit).
Please consult a licensed electrician as they should be familiar with local code requirements.
Since one main purpose of AFCI circuits is to detect arc faults in the in wall wiring (such as from hammering a nail into the wiring) as well as devices plugged into the wiring, the placement at the breaker is crucial. An AFCI receptacle would not detect an up-stream arc fault. Metal clad conduit protects the wiring from being penetrated by nails and such, which is why NEC has required wiring (as noted in the answer above) be put into metal conduit if you are using an AFCI receptacle .