I have no idea why any guide would tell you to give your military mittens. I only think mittens are useful in cold climates, or if you don't have gloves available for some reason. Gauntlets are better protection (marginally anyway - leather armor isn't great protection) and they wear out far more slowly.
The best protection of all is, of course, the dodging skill, which your dwarves (including marksdwarves) will teach themselves at a barracks, so the armor you give them is really secondary anyway.
Also: it is possible to assign your military dwarves to guard a particular burrow only during a particular alert. You can also have an effectively unlimited number of possible alerts. It's done through scheduling.
Let's say you want your markdwarves to guard Burrow X during a civilian alert. Go into the scheduler (m -> s) and then hit * until you reach your civilian alert. The name of the alert is at the top of the screen in black-on-white text and it's easy to overlook that you can change alerts this way. Choose your marksdwarf squad (a combination of +/- and arrow keys to select a squad) and then o to give an order. Scroll through the options with o, and order them to Defend burrows, then select Burrow X to defend. Shift-Enter to save and exit, then use c and p to copy the orders and paste them down for every month.
Now when you put your fort on a civilian alert, the civilians will run to the alert burrow, but your marksdwarves will run to Burrow X automatically.
This is a flexible system. You can create a dozen different non-civilian alerts that send your various military dwarves to do this or that in whatever combination you prefer. Make a backup save before you start screwing around with it, though.
When your marksdwarves ran into melee, were they burrowed at the time?
eta: Sorry, I neglected a step: after you adjust the orders for a particular squad for a particular alert, you need to attach the squad to the alert. In the alert screen (m -> a) arrow down to (in example) your civilian alert, choose the marksdwarf squad you want defending Burrow X, and then hit enter to attach that squad to that alert.
You can also assign the squad to the alert manually, with the squad screen (s -> choose the letter of your squad -> t until you reach the correct alert). Attaching the squad in the alert screen, however, automates this step.