Dwarves aren't stupid. They're dwarves. It's different. No, really.
1.) This is related to soap. Forbid soap and they will clean themselves with only water instead.
2.) You can't. Dwarves wear whatever they feel like until it falls apart. Then they'll go get something new. Maybe. If you have the dwarven economy enabled (you shouldn't, it's a pain), you'll need to build shops once it gets enabled so that they will be able to buy new things. If you ever get a Dungeon Keeper (which I think is still bugged in .31) check out what he is wearing. Usually it's something like a glove, a sock, a dozen capes ... and that's it.
3.) Short answer: look at the wiki.
http://df.magmawiki.com/index.php/Military4.) Dwarves'll sleep wherever they feel like it. Assigning a bedroom makes them happy that they have a room, and if you put a cabinet in there it gives them somewhere to put their stuff, but you can't make 'em sleep there if they don't want to. My Baron is pretty much never the one sleeping in his Magnificent Bedroom.
5.) The magma sea ensures there is _always_ magma on any given map. If you want to find magma closer, you'll have to find an embark location with a volcano or a magma pipe or magma pool. Just like Real Life (which is a lot like Dwarf Fortress) magma is only near the surface in certain areas, but if you dig deep enough, you'll find it.
6.) Assign extra dwarves to the military. Send them to explore the underground caverns and look for Fun. Or both. Start having Unfortunate Accidents for your nobles, assign useless dwarves as new nobles, wait for more Unfortunate Accidents. Start useless and dangerous megaprojects with "volunteer" labor. Anyway, there are multitudes of ways of dealing with freeloaders.