I dig a tunnel below my workshops to be and have drawbridges and a wall grate at the inlet. When the tunnel is full of magma I close the innermost drawbridge. The grate and the other bridges are for potential future expansion with a minecart magma filling station, obsidian farm, and a magma pump stack.
I've seen some indications in the past (but no confirmation) that it might be possible for critters to move diagonally upwards past the impassable workshop tile (using the same logic as when passing into an up/down staircase from below diagonally upwards). Thus, the impassable tile placement is mainly for dorf protection. No grate is needed to protect dorfs in that configuration, but it might work to keep critters out (but I don't know if you can place a workshop on top of a grate). I think I've seen some indication that magma crabs can spit through grates, though, but since there's no vision for the vertical diagonal access crabs ought not to be able to see a target to spit at with an impassable workshop tile on top of the magma. A grate shouldn't need to be magma safe, since it's above the magma. I use magma safe grates for my magma filling station, and magma pump stack, though, as magma pass through those.
I've found no way to say "yes, I know I'm digging above/below water/hot stone. Keep digging without cancellation". My partial work around is to change the world gen parameters so there's at least two levels between caverns and 3 between the 3:rd cavern and the magma sea, allowing the digging of transit tunnels without spam.