Well, just arm someone with a pick or an axe (or conscript the miner/woodcutter) and kill the damn thing.
Best done after you take care of food/drink.
I have a few axes in the embark wagon outside, but the dwarves are simply ignoring my attempts to equip them and they are fighting the yak relentlessly.
The dwarves can't path past the yak, and I can't move the yak until it dies. I'll save carving giant holes in my young fortress as a last resort.
What do you mean, you killed the wagon itself?
Yes.
Is it too late to simply build a new Stockpile? Remove your Dorfs from the military, then create a Burrow. That should force them out of the Yak Room, which is now my new favorite thing to say. Get your hunger under control, then if you have any available ores & fuel, throw together a few copper axes or whatever. If that isn't enough to kill the wayward beast... well, we'll cross that bridge if we have to. Oh, and obviously place a locked door to the Yak Room once your Dwarves are safely away.
I have axes, but my dwarves won't equip them. They aren't listening to burrows either, and removing them from the military either forces them to try pathing to the food stockpile, scream like a little elven girl and run or both.
Even dwarves that aren't in the military are trying to fight the yak.The yak is in the middle of my main 3-wide hallway, which makes things a real
pain in the ass.
Here is a screenshot: (The yak is amidst the big brown blob near the center, at the T-junction next to my future magma forges. There are two engravers smoothing out the forges, oblivious to the situation. The food stockpile and future tavern is at the top and the main stockpile room is at the bottom.)
http://www.imgur.com/0B0U1QD