You can do a few things.
- Kill them. Drop them into the caverns, make them stand under a bridge and lower it, magma, you name it. You'll lose a lot of potentional benefits though.
- Lock them into a room with a chair and a table, and assign them to be the manager and bookkeeper. They'll go crazy eventually, but if they don't have any friends, it might take a lot longer than your fortress will live.
- Sealing them off will mean that your fort can never die without you abandoning it. You will always have that one vampire sitting in his room. He will die if he goes crazy however (AFAIK - I never saw it happen), and if he has friends, he will magically know that they died, and receive a major unhappy thought.
- If you don't mind the monthly deaths of any random dwarf, you could enlist them into the militia. This is potentionally more detrimental than it is beneficial, though, since vampires seem to have a preference for dwarves with high skills, especially important ones. (cough cough) Vampires move faster, are tougher, stronger, and have superior attributes overall.
- Assign them into a one-man squad and have them explore the caverns, and any feature they might find. These features may be very interesting, but all those revealed tiles can substantially decrease FPS, which is a downside. One practical benefit to exploring the caverns is the ability to find a lot of potentional ore viens and large clusters that may have been tedious to find otherwise.