Then your dwarves might not have any ranks in it yet. I don't have much experience with the newest version, but so so far through .40 my experience has been that novice or adequate discipline is needed to avoid your militia running away from normal things. Proficient discipline is insufficient for facing down the undead.
So my advice is to get a militia, even a ramshackle one, up and running asap so that your militia can start training their discipline. Once you get adequate, you can start sending them to the arena to fight. I would advise a well-decorated arena, as well as barracks and dining rooms, and lots of high quality food and booze. Untill your dwarves are battle-hardened to death, actually killing things could easily trigger a a break down in your dwarves, and when a militia dwarf goes berserk, it's a bad day.
Actually fighting seems to give the best results, but has the negative of being VERY emotionally taxing for your dwarves. While you can train discipline and combat skills by pitting a weaponless goblin against a recruit with no discipline, the danger of constantly running and doing dumb stuff is very likely to result in fun for your dwarf.
So again:
1) Start training early
2) use traps to defend against the early attacks as much as possible, and cage anything you can.
3) Once your dwarves are adequate or above, start the arena training.
4) You now have a force of battle hardened dwarves.
Multiple dwarves stand a better chance than 1 dwarf vs whatever, but 1 dwarf is less likely to be emotionally traumatized(killing and enemy will make him happy!). Your call.