I tell individual squads to kill individual goblins.
Also, really how useful is the station/move command?
I use kill orders extremely sparingly. They usually don't cause the behavior you want. Typically what happens is the dwarf "chases" the guy you ordered him to kill, which is OK if the target is a thief who's running away. But if it's an invader, what happens is your dwarf heads to the spot where the invader was at the time you issued the order. When he gets there, he finds no invader to kill, so he finds out where the invader is
right at that moment, and heads for that spot. Meanwhile the invader has moved again, etc. Dwarves have absolutely no ability to predict enemy movements. "Looks like he's heading toward the statue garden. If I leave now, I could intercept him in the hallway on level 9" is a thing only you can figure out.
That's where Station orders come in. If you think you can get your military dwarves to the hallway on level 9 in time to intercept the bad guys, give a Station order for that part of the fortress.
Another good/bad thing about kill order is that once the target is killed, the order goes away. If your military dwarves were inactive at the time you gave the order, then they revert to inactive state (civilians) when the target is dead. So, if you gave a kill order for one goblin in an ambush squad or siege, your axedwarves might revert to cheesemakers in the middle of the battlefield, at which point they will panic and run around. (If the squad was already active, that won't happen, but it's easy to forget....)
Finally,
never use kill orders with marksdwarves. This causes them to run toward the target until it is in sight, and then start combat, rather than standing behind the fortifications where you actually want them.