I think the best skillset to have would be:
High dodging, high throwing, high ambusher (for sneaking), and high observer (for avoiding ambushers.) And swimming, at least Adequate.
That's the best survivability imo. Pelt with rocks in stealth mode, get a lucky shot and kill them. Dodge in close combat.
I usually skip swimming, ambusher, and throwing and put points into dodging, observer, weapon skill (usually Swordsdwarf), and a single level of shield user while attribute points mostly go into agility, kinesthetic sense, and spatial sense.
These three attributes maximize your ability to dodge. Disease resistance and recuperation receive the remainder as there is no way to train those and it is a real nuisance when a dwarf gets a infected bruise.
Far as the skills go, swimming trains endurance, but surviving floundering/drowning works much, much faster and you have a decent shot at doing this by finding a Murky Pool with a section that is one tile wide as your escape options are much better. It's not hard to go from average endurance to superdwarven in time it takes you to reach Novice Swimmer from no swimming skill at all. A Novice or better Swimmer only gets floundering/drowning status when swimming under a construction/natural formation or if they hit a stagnant river so it isn't quite as easy to train. This is a risky practice though and not something I'd do in a situation like this.
Weapon skill is useful because it makes it more likely that you'll start with a weapon forged out of a higher quality metal. Accomplished or better Swordsdwarves seem to have a much better chance of starting with a steel sword than a dwarf with lesser skills. Plus it helps you acquire soldiers as sidekicks more easily. Novice Shield User is useful for the same reason; granted that a steel shield doesn't block any better than a tower-cap shield, but it flattens skulls a lot more efficient. I don't take any more levels than that though as it's a really easy skill to level by sneaking into catacombs and collecting a bunch of shields and using them all at the same time.
My army contains three crossbowmen, two hammermen, a swordsman, an axeman, and a lasher. Wait, scratch that lasher, I think some yaks killed him.
EDIT: Scratch the hammermen and the axeman, they either wandered off or died, and I'm too lazy to check.
Yaks are murder-machines when it comes to sidekicks as those idiots tend to charge straight in and have their skulls smashed to tiny bits by the deathyak's hooves of steel. It's best to avoid actually walking around as much as possible when you have companions since they have a bad tendency to wander off if there are animals nearby; using quick travel guarantees that they'll not do this.
When you get to a town, I'd recommend trying to pick up a spear/pikeman or two as they have a remarkable knack for hitting vital organs or causing large opponents to bleed out. The crossbowman are useful so long as they have ammunition, which is an even better reason to avoid streams and rivers when they are not frozen as archers have a bad tendency to take potshots at the local wildlife.