Based on the fact that gauntlets, boots, and helms don't do a good job of protecting fingers, toes, and facial features, I did a little messing around in the arena. I don't really have the patience to do exhaustive testing, so instead I'm going to leave some initial notes.
Method: alter raws, make macro to clad a dwarf in steel helm, mail shirt, gauntlets, boots, and legging, and either let ten fire imps use the dwarf as an archery target or take control of the dwarf and send them for a dip in the magma.
Make each finger and toe internal: Seems to work, prevents fingers and toes from being targeted directly.
Make facial features internal: Doesn't do all that much -- the real killer is the fingers and toes.
Edit vertebrate tissue layers to remove fat (ARG2) from fingers, toes, lips, and other body parts that are exposed to magma: This is more interesting. The dwarf I allowed fire imps to fire at remained completely healthy for nine months, but was quickly set ablaze and killed once I took control and removed one of her gauntlets. Testing on the magma dwarf was inconclusive, as fat from the upper legs and arms bleeds enough to kill the average-stat arena dwarf.
Edit fat tissue to have a vascular value of 1: With careful shuttling between the magma and the water, I was able to get a dwarf who could swim in magma so long as she had a protective coating of water (go Leidenfrost!). Once the water went away she'd be set on fire, which was as fatal as it normally is. Otherwise she'd suffer minor to serious burns, which didn't cause any pain or bleeding even on the rare occasions that bone was suffering burns.
I haven't yet finished even the preliminary round of 'testing' (I need to see if a dwarf with the vascular and fat tweaks can learn to swim in magma without armour), but the most promising thing here is the immunity to fireballs and, perhaps, clouds of flame produced on the death of some creatures.