Yes, you must limit his innings. The more batters he sees, the worse results you get. I've tried using Marmol as a set-up guy with sub-par results. But if he gets the rock in the 9th with a lead, he's money.
Incidentally, I'm finding several low dollar closer options much more viable than seasons past. For instance, a MacDougal/Choate combo has been working well for me, again, if done with a reasonable pitching staff/bullpen in front of them.