Train and raise military from the very beginning, even if it is a squad of two. (Split this initial sparring party to better train the lower ones)
I believe someone said a squad of three with minimum train set to 2 is optimal (you need at least two dwarves in a squad to spar, and having one off-duty prevents bad thoughts from "long patrol duty" if you keep the squad on Active/Train all the time). They say breaking up your militia into 3-man squads maximizes sparring time.
I usually stuff as many as I can in a squad to get maximum benefit from teaching, though that's because I have a soldier/teacher as one of my starting seven.
Marksdwarves can be trained with archery targets-but will waste valuable ammunition. Also was just using cheap bone crossbow bolts for them. (lol)
The bug that makes dwarves use combat-only bolts for training is getting fixed next version, so archery targets should be very useful in the future. Right now I just forbid metal bolts before setting up the targets, then unforbid them when the goblins come.
Is Same Material vs Same Material really THAT ineffective? With a full iron armor suite, I expected my dwarves to be able to take a shot or two from an iron spear... I don't have access to flux stone at the moment (asked for it on my last import agreement) so I had to make do with that armor being the best I had.
I regularly see iron swords/maces bounce off of iron armor in both adventure and fortress mode. Do note that piercing weapons (warhammers, spears) have bonuses against armor, and whips/scourges and daggers have an impact area bug that severely reduce armor protection (my adventurer carries a large copper dagger, and can usually stab through an iron helm with ease).
So - against sword/macegobs you should be fine, but take care against lashers and thieves. I believe hammergobs carry mauls, but some of them do have silver warhammers from time to time, which means even my steel-clad squaddies come home with broken ankles/wrists.
*Edit* Oh one more-If I capture a goblin in a cage trap-how do I move the cages properly? (Only ever had caged animals-but if you try to move them without taming them they run around and cause a big mess)
To move cages safely, set up a second Animal stockpile, then disable goblins from the first one, so your dwarves move the cages, not the contents. To successfully throw animals/goblins into a pit (into an arena or drowning chamber, for example) designate the animal stockpile right next to the pit/hole. If the cage is right next to the pit zone, the goblin won't have time to attempt to escape before he's pushed over (some master thieves will still escape though, so either use weapon traps around the pit zone or have a squad stationed nearby). I believe high skill in Animal Handling helps in preventing escapes, but I haven't verified this - you may have luck only enabling Animal Hauling on dwarves with the skill.
Did I do something wrong, or are my dwarves complete morons for getting pawned by a lone snatcher ? Version is .21
Snatchers carry large daggers - as I mentioned above, daggers are armor-piercing.
Equipment is invisible on caged gobbies. To dump their weapons before uncaging, look in the stocks screen - for snatchers you'll see forbidden large daggers. Use the stocks screen to unforbid and dump the dagger (set up a garbage zone first) and soon a hauler dwarf will come along and disarm the goblin. You can also dump the rest of the goblin's armor the same way.
In addition, training weapons have a hidden benefit. If you capture a foe, strip them of all their armor and weapons, and unleash a squad with training weapons on him, they will bash him slowly, slowly, slowly to death, gaining skill-ups with every hit. It's also cruel.
I find I get somewhat similar results if I only dump weapons, but leave the goblin's armor on. Then I can train my armed dwarves on it without the hassle of switching to training weapons first. Still, training weapons are good if you have dedicated cadet squads, but my forts usually have to forgo that luxury as I keep getting raids too frequently to allow time for a squad to reequip from training to combat mode.