A few words of further advice I got from the Wiki and learned through experience:
You can adjust armor and weapon on the same [m]ilitary screen. Press [m], then press [w], and you'll see a list appear next to your dwarves.
Left couple of shorthands is the weapon they should use; next, the number is how many should they take with'em (not dual wielding, if you assign two weapons, they'll keep the second one as a backup and use it if first one gets stuck/broken); next is the armor level (None, Leather, Chainmail, Plate), this is the level they're going to try and reach (if for example you say someone should use Plate but there is only leather armor, he'll don leather); and the final one is shield level (None, Buckler, Shield). Wrestling will also train shield skill.
If you don't yet have a forge and metalworking operation, you can make crossbows out of wood. Don't forget to provide plenty of bolts!
Also keep in mind woodcutters use axes, so if you give all axes to axedwarves your woodcutting will suffer!
If you don't have any armor (it's a new fortress probably) that ain't a problem, too. I have a wrestler contingent of 8 and they were trained up by sparring, never a serious injury (though there was occassionally blood in the barracks).
And a final thing: if you designate a bedroom, your army will spar there and will constantly annoy dwarves who are trying to sleep. But create some weapon racks or armor stands, and designate a second room from those; this will be considered the "true" military barracks and the army will go over there, letting the others sleep in peace.
Enjoy this fine game!