Yeah, I've had around 5 of these jack holes running around outside my fortress before. Mostly because I don't let them in so they can't kill or be killed. The ones I do get around to fighting vary greatly in their difficulty. Some are surprisingly easy to kill, some are impossible. And some die just fine but in death find a way to kill all my dwarves in the process.
Pay close attention to the material they're made of and the gases/secretions or whatever they spew. If they're made of some kind of normal flesh then they're at least killable. Avoid blob like creatures. Like creatures made from jell-o pudding or something. You can hack on those things all day and it won't do any good. Creatures made from metal or stone are similarly indestructible but for different reasons.
As for the gases/secretions...those are a little iffy. Some of them don't seem to do much of anything. Others are quite deadly. My only advice is to make sure to kill them as quickly as possible.
Has anyone considered caging them?
It's impossible without modding. They are immune to traps unless unconscious, and they never fall unconscious.
Also, don't bother chaining a dog to a wall in the hopes of using it as bait to trap a forgotten beast in a room using vertical bars. Just saying.