As we all know, by the late game goblins aren't much of a hassle to deal with. The magma sea is also a rather boring place, with only three types of creatures calling it home, and it's completely safe to get infinite magma from them with only a glass grate. This does rely on invaders being able to dig, so we'll just have to assume that is in the game by the time this happens (It should be fairly easy to add, there are already versions of DFHack that add this).
Let's introduce our main topic - steel men. These would be an intelligent race organized similar to animal people and the same size as kobolds, but much physically tougher, being made of steel for their extremities and iron for their head and body and often using iron/steel weapons stolen from your fortress or other civs. They live in camps similar to animal people in the third cave layer, with stolen magma-safe objects. Because of these connections, they can attack kobold caves and worldgen fortresses, looting these sites of all magma-safe materials. Two more types of magma sea dwelling creatures would be added, the magma jelly, which drowns out of magma and has no attack other than the default "push", and the lava worm, which can attack dwarves with its teeth and ability to spit globs of magma and live out of magma but is fragile.
You are probably wondering what these have to do with late-game sieges. Well, unlike kobolds, steel men are able to talk and are more organized than animal people and often their groups become close to goblin civs during worldgen. The leaders of the goblin civs they are affiliated to often have them join them on sieges where they attack sites from underneath while the goblins deal with the surface. Player fortresses can be raided by just the iron men with no associated goblin seige once they have discovered the second cave layer or the magma sea, and they are enlisted against forts by goblins once two or three sieges have failed. They can attack in two ways, the first usually used in raids and the second only in seiges.
The first is the simplest and simply involves them breaking any grates connected to the magma sea or and doors in the second or third cavern layers and coming in through there, killing everyone they can find with their stolen weapons, with a fair amount of lava worms coming with them. The second is more elaborate but possibly much more destructive. They are able to make a construction which restrains a magma jelly (it is not part of the construction but is stuck in the same tile, though the construction will be useless if it is killed) to use as a pump, making a passable, one-block pump that pumps straight upwards.
They will then begin building several upwards shafts that can go as high as the end of solid rock and the beginning of the soil/aquifer/glacier layer but usually stop at a lower level that are filled with magma using these pumps. Then, at close to the same time, sideways segements of these shafts will be dug into areas the AI thinks are most susceptible (large rooms and the tops of stairwells) flooding these areas with lava. The steel men will then enter the flooded area and steal any weapons or armor that are made of magma-safe materials and they deem are better than the ones they already have, before fighting with the survivors and triggering all intact switches they can find to open the gates for their goblin allies. If the shafts can be extended further and they are encountering resistance, the shafts will be extended to large rooms or stairwells that are still controlled by your dwarves. This will continue until they retreat (which may not happen even if the goblins give up) or all of your dwarves are dead.
I think that this would make the late game more of a challenge in fortress mode but might come into problems with artifacts becoming irrecoverable (though this might not be a problem). It would make security more spread out though the fortress instead of just near the surface (even if regular invaders are able to dig they would still usually only go for shallow targets), and encourage more modular designs and a more extensive water infrastructure deep underground to deal with magma leaks they create. This would still be a decent challenge even in the late game, and even if you were able to kill all of them in seconds it would still cause damage. It would also make magma less overpowered by making it more risky.
EDIT: Added suggestions and made the formatting better.