The game is much easier if you turn down your population cap to below ~60 so you don't get sieged. Ambushes will still appear, of course, and IMO are actually more threatening since they appear without warning, but that can't be helped unless you do some modding. A lower population also means that you don't have to house or feed so many, which makes those aspects easier to establish as well.
Anyway, a lot of the really impressive-sounding things to do aren't actually that tough. 50 wardogs in a cage? That really just means starting with a breeding pair of dogs, getting a kennel, and waiting until puppies grow up, then setting training war animals on repeat until there aren't any more, then getting a cage and sticking the dogs in there. Catching dragons is as simple as having a cage trap when a dragon shows up. Invading hell is tricky, but that's supposed to be the toughest challenge in the game.
You probably have difficulty with military because A) you don't devote enough people to it, and B) you don't go for metal working soon enough. I prefer to have at least 2 soldiers per 10 population (not 1 per 5; they always are recruited and train in pairs), and I go for magma to power forges by the end of the fort's second spring at the latest. I embark with 2 dwarves intended as soldiers and a third proficient weapon/armorsmith because military is so important. The most effective training method short of danger rooms or actual combat is scheduled training with exactly 2 dwarves in a squad, 8 months out of a year.
Working with magma is probably less difficult than you think it is. Try building your magma trap and shop designs with water; it's safer if you screw up, and if you don't screw up with water, an identical design will work with magma, too. Eventually, you'll learn how to use fluids effectively, and then you'll wonder how you ever had a problem with them.
The really epic forts, though, tend to be the chaotic, skin-of-their-teeth ones where utter failure is only a breath away. The people whose stories are remembered are those who have to deal with a lot of major problems but do manage to deal with them. Trial and error, and asking for help when there's something specific, is the best way to learn the game! Unfortunately, asking for general advice tends to be ineffective because the game is so huge that it's impossible to cover easily.