I had no less than 2 vampires turn up to my fort rather early. By the time I realised they were there, it took quite some finding (via the nickname method). It probably pays to give your dwarves nicknames as they turn up to the fort to help early identification.
In any case, I had quite a few dwarves turn up drained of blood before successfully finding them. There were the obligatory 50 hammer blows applied, which of course they survived.
I then started exploring uses of them. Here's 2 that work brilliantly;
1. Creating a deep pit with burrow at the bottom and assigning your vampires to this. You may need to give them a reason to go to the burrow - I created a squad for them and stationed them there - but once there, they'll happily stay put. No thirst or hunger, and it seems they'll stay reasonably content. I then used this as a handy disposal method for goblin prisoners .. it turns out that vampires are damn good at killing those that survive the fall, in spite of having no weapons or armour.
2. As my embark was on a very interesting volcano (the caldera was way above ground, and no ramps up to it), I decided to stay on ground level and channel into the volcano itself. I created a nice moat, tunnels under the available water (hopefully to stop it freezing during winter), and a tunnel under the fortress to allow me to setup my magma industries in comfort. Finally, it was time to tap into the magma itself - so I took the Mining job from my legendary miners, and assigned it to my Vampires. Unfortunately while they were moving from their old burrow to pickup their picks, they decided to drain a couple more dwarves ... but it was a worthwhile sacrifice. I assigned them to their new burrow, right next to the volcano tube, and designated it to be mined out.
Result, of course, was 2 vampires that had been missing for a week, and a neat little magma system with no risk to my valuable miners. Thanks, vampires!
Vampirism is a brilliant addition. It seems to me, though, that the game really needs a way to "permanently" deal with vampires (and werebeasts) as part of the justice system. I'd hazard that there should be an in-game method to "flag" a vampire, which both the dwarves and you can trigger - eg. if dwarves see them sucking blood, transforming, or surviving 50 hammerstrikes with ease, they should get suspicious at the very least. A suspected/confirmed vampire/werebeast should be capable of execution (sharp-edged weapon!) or pitting .. plus of course there could be a chance for them to fight back or flee. This could be made entirely optional, for those who want to keep vampires around.
Assuming that the current "exploits" to find a vampire will be fixed, the current systems would be frustrating at best to find and deal with them. Adding discoverability as above would make this more bearable. I don't know what should happen in the cases where (as I found) the vampire "finds" the body of their victim and reports it, with no other witnesses to point the finger at them .. it seems like this might be okay as is, but I could also see a possible argument that there should be "clues" as to who the vampire is, to make it more possible to figure it out.
The argument can also be made, of course, that "Losing is fun", but I think that without the current exploits, losing might become less fun when it's due to vampires .. so I'm just thinking of how that could be addressed without hurting the game. I don't think at present fortress mode dwarfs can turn others into vampires (?), but if that were to be added, then that too would seem to necessitate more mechanics along the above lines - an all-vampire fortress may well be fun, but it's not necessarily something that should be a foregone conclusion, or one that you need to work around with magma/burrows/etc.
tl;dr: stuff is awesome. more stuff is more awesome.