Make bolts out of the cheapest materials you have, and in large amounts. So long as they're metal, they'll probably pierce armor, unless something drastic has changed with weapon/armor relations since 31.12. You're mainly only going to be using marksdwarves in situations where they can take free pot-shots at their target, and even if it takes more shots to kill, that's just more experience for them. Ammunition should be cheap and plentiful.
War hammers aren't really your best choice of weapon since they take so long to deliver a killing blow (bashing the skull in isn't lethal unless you actually tear the brain as well). I have heard the same about silver being the best due to its highest density, and for the coolness of naming your dwarf "Maxwell Silver-Hammer".
Bad news: unless you find a magma-pipe, magma only appears BELOW the 3rd cavern. Keep digging!!!
Steel is the best metal for weapons and armor where sharpness and durability counts. Next comes bronze. Then iron, and then copper and silver. The softness of the various metals has an interesting correlation with their density.
You only REALLY need weapons that are of a superior material to the armor that your enemies are wearing. Bronze weapons will pierce iron armor, but be stopped by Bronze and Steel armor. If Steel is proving too expensive and difficult to manufacture on a large scale (without magma available, that's a LOT of coal!), then just equip your dwarves with Bronze armor and reserve Steel for their weapons.