There really is no need for danger rooms. If you get dwarfs training effectively for about half a year - a year, they should be legendary in fighting + weapon and decent in the defensive skills.
The main thing is to get dwarfs training early, preferably before the first caravan. They don't need (a lot of) weapons and armor yet, just give them a barracks, some training weapons, and off they go. Once the first migrant wave in the second year comes in, set a lot of them to military duty. I generally recruit any dwarf with a military skill into the military. Disable all their jobs, get them into the barracks, and watch them spar.
Don't forget to activate the squads: set military alert to "active/training" and activate all sqauds in that alert (via (m)ilitary -> (a)lerts)
While they are training, set up your metal industry and get them some armor. I like taking some ore from the mountainhome to make sure I can get basic militia up by second spring. Whatever you do, don't postpone setting up the military until after you get your forges running, they need time to train and they don't need a lot of fancy gear to get started sparring.
[A surefire way to get a good military quick is to follow the embark guideline I posted in an earlier thread: 4 military dwarves, 1 smith, 1 doctor/broker/manager, and 1 grower. Bring 4 picks, 10 coal, 10 cassetirite, and 10 copper/malachite. Set the military to be your early miners. They don't have skill but will quickly learn in the soil layer, and 4 miners go pretty quick. Strive to get food+booze production and decent quarters, set the smith to make equipment, and you can start training in early summer with the four dwarves. By winter they should be legendary. For the military dwarves, the best skills to give them are teacher and armor/shield/dodge. They will learn the rest quick enough. Teacher increases the rate of skill gain through training quite a bit (contrary to what some people claim). Initially the fort will be sluggish as you only have 3 mostly inexperienced dwarves to run it, but by the time the migrants come in you will be fine. ]