They can still gain any skill and do any amount of weapon switching once they reach legendary. In fact they can gain "legendary+1 +2 and so on in that same skill, even though it isn't displayed.
I would always train wrestling with armor and shields first and then only hand out weapons when everyone is legendary and full armor was available. Its a good way to quickly get them stats very quickly and the toughness/dodge/shield block/armor skill puts 4 extra layers of protection between them and weapon accidents.
Early military isn't neccesary, assuming you have some traps set up and a way to seal the entrance. But its a good thing to have and you might as well get them going early. I would ALWAYS embark with 2 military dwarfs and get them training as soon as possible, and then assign another 2-3 on my first migrant wave, but thats because I played with Orcs and worse. Basically on embark I would turn some cats into leather armor, bone helms and wood shields and get them wrestling once all the hauling was done. Leather and bone are fine for wrestling and by the time you have to fight more then kobolds, they will have enough skill and attributes to destroy anything. When you do have a metal industry, or enough trade goods to buy stuff, focus on shields and weapons because those give you the most bang for you dwarfbuck.
One final note, training weapons should ideally be
high quality but made from
poor materials. Weapon skill rapidly decreases the chance of causing a sparring injury and each level of quality adds 1 skill level. Even if it also adds to damage done (I don't think it does) brown and light grey brain injuries are basically the same, and brown and light grey regular injuries both heal immediately so it won't matter as long as you are using silver/copper/wood. Remember, tetrahedrite produces about 1 silver bar per 5 smeltings look for that