They don't do squat unless you tell them that they're on duty.
That's not true. Even off-duty marksdwarves should be wearing their armor, crossbow, quiver and bolts. Here's what I can think of off-hand:
0) Make sure you're on the latest version (0.31.12).
1) Under [m] -> [e], make sure the dwarves are assigned a crossbow, not "indiv choice, ranged". I'm not sure if that bug is still in the game, but at least in certain previous versions, you HAD to use "crossbow" here to get them to train at an archery range.
2) Under [m] -> [f], make sure the squad has bolts under ammunition and under assigned. I'm not entirely sure what the green check-marks mean, but they seem to be a good sign. Note that hunters and military will (in many cases) compete for the same bolts. The military should win any such conflicts. In fact, I believe the assignment of bolts is done from the bottom up (as the squads are listed) -- exactly the opposite of equipment assignments, which go from the top down.
3) Make another pile of bolts, and see if anyone grabs those.
4) Make sure there are no arrows assigned to anyone. Ever. (That may be too strict a requirement, but hey....) If you did accidentally assign arrows to someone, destroy them. That dwarf will never pick up bolts until those arrows are destroyed.