I actually don't have a lot to add about Whales specifically, but wanted to share my current fort.
(The previous one was 100% predesigned, but didn't work out great and went for the adhoc approach).
Inspiration for this fort came partially from this thread.
I embarked on a 4x4 embark, only having 3 tiles land; includes an arctic, freezing, ocean and a cold temperate ocean.
It's frozen about 50% of the year, might be 1 or 2 weeks longer frozen than thawed.
All biomes are savage and neutral; the caverns are 1 big mess. (I think the upper 2 levels are merged into deep pits with breaking paths; got a forbidden beast stuck in a tree)
I have yet to encounter Whales, although they should be available and I picked an arctic area in order to prevent most other animals to come.
Fishing is close to perfect. (made a larger area above the ocean with grates for safe fishing.. using the frozen period to process all raw fish)
Managed to hunt Weasels, Giant Weasels, Weaselmen and a lot of sea others. (giant albatross and such once in a while)
Haven't actually began building a drowning chamber, because there don't seem to be any larger animals in the ocean itself.
Only animals entered by walking on the ice, which were only the Sea Otters and 1 Giant Human. (my only succesful military campaign; where 10-20 dwarves had their heads bitten off within a second in other campaigns)
Does the freezing prevent any larger oceanic creatures to come? (only amphibians come atm)
Follow-up question.. It is possible to melt the ocean layer by running magma in the layer below it, right?
Might not be able to do that, as 75% is aquifer and built my fort in the only larger clean area. (huge ass bridges connects fort with shore on a higher level)
-edit : forgot to mention I managed to get breeding Draltha's, but it's not whale related