I hear the fastest way to get safe is to dig down a level to get your dwarves underground, then dig around and under your wagon so as to cave-in it, and all it's contents, down one level. Remove all ramps to the surface, and you're already safe from non-fliers. Then wall in ASAP.
This seems like the best opening. Gets your stuff underground fast. The method of deconstructing the wagon and channeling might be safer, but the principle is the same.
A few tips
DON'T bring any domestic animals on your embark. If your biome is automatically reanimating, a meat industry is suicide. Until you know for sure that your biome is NOT reanimating, atomsmash all pets/livestock that come to your fort. The bad thoughts are worth it.
DON'T expect help from caravans. They have to get through the death clouds and zombies to you, and you need a 3-wide path all the way to the map edge sitting open to get wagons, which is suicide. Leave your gates closed and accept that you'll get traders-on-foot if anything.
DON'T try to trade time for embark points. Even in savage lands you can usually afford to bring a couple stones and logs and a lump of tetrahedrite rather than two axes and two picks, saving a lot of points. In evil turf, you need at least your picks on 1 Granite, not after you've built three workshops on the surface, burned wood, smelted, and forged.
DON'T build anything important out of wood. Wood is more vulnerable to undead building destroyers. A stone door will protect you from zombies, a wood one won't.
DO have at least one trained military dwarf, preferably with equipment, to defend your position while you seal up
DO build lots of doors across your hallways that you can use to lock regions of the fort off from one another in case something gets past your outer defenses
DO build multiple inter-level connections so zombies on the central stair don't paralyze the fort.
DO defend yourself with raising bridges and leave them raised until needed.
DO remember that fliers can generally fly as undead, and plan your defenses accordingly