I got four vampires in my 5 year fort so far. Once I was over the panic of "oh gods, my dwarves are being found dead!" I read the wiki, learned how to identify a vampire infestation and caught each one of them by building rooms with a lever inside, linked to the door, and then assigning them to pull the lever. Easy like that. Now I have four rooms (besides the levers, each room also has a bed and a coffin) each containing one suspiciously happy dwarf, that never drinks, eats or sleeps. One of them is so charismatic that he manages to be elected mayor every year, even from inside his solitary confinement.
Now I could never kill these guys, even if each one got to kill at least two dwarves before being caught. I think I'll construct a subterranean (well, more subterranean) place for them, with an underwater danger room for them to train, besides individual rooms with all the amenities I can think to make them happy. I'll deck them in the best gear (my miners bypassed the caverns and just hit the magma sea), give a scourge for each one and then have them devastate the circus once they're multi-legendary.
In the meantime, they'll work as my execution system. Dwarves that bring shame to the fortress will have to go through the airlocked chambers and will end up in a bedroom inside the vampires living space. Once the deed is done, their dried husks will be buried outside.