I do agree that exploring the dungeons is fun (and kind of dangerous). What I don't find to be fun is trying to find a specific target down there, as many NPCs in the dungeon are very hard or impossible to find. If you kill any bandit leaders you do find down there (even without being told to kill them) you can report this to the leaders of the town and they will be happy with you.
I have not played genesis mod (although I mean to), so I don't have actual in-game experience with the armors. However, I have done extensive experimenting with the vanilla armors. The things that determine their strengths are SHEAR_YIELD, SHEAR_FRACTURE, and IMPACT_FRACTURE-IMPACT_YIELD. Based on looking at the raws for the genesis metals (found in [your_DF_directory]/raw/objects/inorganic_g_metal.txt), it appears that Cobalt is even worse than silver (which is the worst of the standard metals) for making edged weapons and armor. I would trade the cobalt for copper if you can. Iron will provide much better protection than copper. It also appears that blood-steel is slightly better than regular steel for edged weapons and armor. If you want I can try to provide an approximate ranking for all genesis armor/weapon materials, but I don't have time to go through all the raws right now. For normal materials, steel>iron>bronze>copper>silver for making armor or edged weapons. Blunt weapon damage is based on weapon density, so silver>copper=bronze>iron=steel, but all the densities are quite close, so any metal will make a good blunt weapon.
Since you are a dwarf, it will be hard to find dwarf-sized armor. I *think* that genesis mod adds above-ground fortresses for dwarves. These will use the same symbol as human fortresses (the castles with no cities around them), but will be near dwarven cities. The dwarven cities themselves will show up on the travel map, but they are not implemented yet so if you go to them there will be nothing (unless this is also somehow modded by genesis). Anyway, I would look for armor inside of fortresses. There will be lots of armor lying around in keeps at the middle of fortesses (the building with nobles inside). Fortresses belonging to dwarves will of course have a better chance of having dwarven armor, but sometimes you can find it inside of human fotresses as well.
The armor shops in cities are currently broken, and almost never have armor. Even if they did, it would all be human-sized. Even if genesis changes dwarven cities to actually exist, and you could find an armor shop with armor, it would also be human-sized. Bottom line, don't bother shopping for anything besides weapons. You are unlikely to find a better weapon than a bloodsteel axe in a shop, so I just wouldn't bother with shops at all.
The other place you can find weapons/armor is in bandit camps, night creature lairs, etc. Enemies near dwarven civilizations are more likely to have armor from (or actually be) dwarves. Armor from elves or goblins will also fit a dwarf. Elves have worthless wooden armor in vanilla mode (although I'm not 100% sure that elf bandits don't have better armor) so unless that's changed by genesis mod you won't get anything good from elves, but you could also search around for bandit camps near Goblin dark towers, or see if Genesis has added in above ground fortresses for goblins.