Hi!
Yeah, not as annoying as several unicorn herds, but still a real pest.
My advice is the following: During the early game, when you still have lots of stuff outside, check the Unit list regularly, every few days. As soon as the macaques (or racoons) are there, check where they are and keep an eye on them. Not always will they come over to visit, but often. Once they get too close, get some hunter ready or an aggressive soldier.
Putting things indoors is basically helpful, but don't rely on it. Macaques will enter your fortress, going through doors if necessary, so letting your guard down can be nasty.
As was said before, the message is shown once the macaque leaves the map, so it is too late. Since they come in raid parties, even if you respond to the first message, it may be too late as the others are already too close to the edge of the map.
Also keep an eye open for "... cancels ... : Interrupted by rhesus macaque" type messages. If you don't check the unit list regularly, these are your earliest warnings (besides, they are also a major annoyance as they can block fisherdwarves or dwarves who chose to drink from the river for ages).
There is one upside to macaque/racoon infested maps: Caravan guards will kill them, like just about anything else not willing to engage in trade. So, having a butcher shop and tanner ready may be handy when the caravan comes in (I regularly had racoons try to raid a map while the dwarves were there ... that was really nice).
Deathworks