king comes in next immigation wave, from memory. if you dont have a tax collector or other related nobles, he brings them. you get "the king has arrived dressed as a peasant!". sometimes your king is a queen.
also, you have to recruit dwarves into the royal guard in the same way as you would the military or fortress guard. royal guard option appears when you satisfy certain requirements ive never bothered paying attention too, but i think you get it when the duke/duchess appears.
since you have forewarning, try and get some royal quarters for the king ready. check his demands out on the wiki, he needs a lot of stuff, and between him arriving and you getting it all ready he can actually loose his marbles due to his lessers pretentios living/dining/burial arrangements.
royal guard will hang around and spar, but apart from that do very little. they will occasionally try and rush to assist a noble that is being attacked in some way. they can also help out if your fort is getting seriously violated by invaders. normally i retire spine or neck injuries into the fortress guard and make them crossbowmen, as military dwarves with those injuries will never spar, and thus never get good at close combat.
ive never found or heard of a way of helping out the poor sods who come out of the HFS encounter. they either get killed off by the demons or wander around and die of hunger and thirst. same as dwarves who hit melancholy or berserk, once they are in that state they cannot be recovered. you can always try caging them and selling them to the elves, and imagine that they are looked after humanely if you really want to do something. also, you havent mentioned the massive horde of demons that normally follows the victims. you have fought them all off/walled them in, havent you...?