Don't do it with the army, else you get a loyalty cascade.
Instead, declare a burrow somewhere far off. Assign the little suckers to it. This stops them from making friends with the real inhabitants of your fortress, and you avoid these getting bad thoughts in a short while.
Then build a drawbridge (3x3 tiles is sufficient) next to the burrow and pull it up.
Redraw the burrow and place it below the drawbridge.
Wait that the little suckers moved into their new home burrow.
Pull the lever.
The disadvantage is that you often don't hit the 3 billion pets that they brought with them.
You could also construct a drowning chamber or a magma chamber or simply a room that you can wall off for immigration waves, but I personally find the drawbridge solution the cleanest way of dealing with immigrants.
If you've an open volcano, you could also construct some floor tiles on top of it, place the burrow of the immigrants there, and then deconstruct the floors that connect the burrow with the obsidian shaft of the volcano. This sounds like it's prone to mistakes though; so for instance some of your own dwarves might do the deconstruction and join the immigrant suckers on the way to the bottom. Also, the ground floor of the volcano might get cluttered with lose rocks if you used magma-safe materials. It's probaby very satisfying anyway.
Or make a room full of spike traps for the burrow, and have a native dwarf pull the lever a lot. If an immigrant survives this, you'll have a legendary dodger right there. And the rest of the little suckers will die as they should.
Another interesting way could be to somehow make them fall a couple of hundred z-levels, but then you get all the bones and the clothes cluttering your floor.
There are probably some more satisfying ways, like encasing them in ice or in obsidian, but they will require a lot of work, most likely.