You could send soldiers to a particular place by stationing them there using the (s)quads menu's (m)ove function. Also, you could make a new alert, set the schedule for a squad for that alert to defending a particular burrow all the time for the whole squad, and then assign the squad to that new alert level. Soldiers usually hang out in burrows that they're set to defend.
yea, you want the squad's orders for the alert to be "defend burrow". the burrow listing in the actual alert menu is for your civilians, to restrict them all to the listed burrows when they are active on that alert.
unlike general burrow restrictions, when on this alert, your civilians will do whatever they can to not leave the burrow. this can lead to a lot of job cancellation spam, especially as your soldiers die.
while it is fully possible to semi automate your military like this, i mainly use the alert system to control my civilians during sieges, and i use the (s)quads menu to give my military more direct control.
the squad menu also tells you which squad has a member closest to your cursor. this is invaluable when a forgotton beast starts climbing your mineshaft to your miner's dorms because you didnt wall off the third cavern layer of all places......hypothetically.