I dunno. It's a habit to train all recruits in wrestling... But how would one train their Strength? Hauling things constantly?
Strength isn't quite as important as Toughness, if you're just looking to keep your dwarves alive long enough to run to safety in case they get jumped- and I suggest that's what you aim to do, because killing the fuck out of the enemy is what your military and/or traps are for.
One way to gain Toughness reasonably efficiently is to build a bunch of screw pumps, don't connect them to anything, order them pumped manually, and give the dwarves in question the "Pump Operating" labor. You get about twenty "Urist McRocky cancels Operate Pump: Exhausted" messages a second, especially in the beginning when none of them have any attributes, but other than that it's fairly low-maintenance.
A backup plan is to do what I do: find every dwarf with a labor that makes it carry a weapon (hunters, miners and woodcutters spring to mind), group them into single squads by weapon type, and if they get jumped during work, activate them. Then again, I do this when my fortress has been running for a while, so anyone who's done any regular work usually has an attribute or two. YMMV.