My lengthy opinions!
- When should I start setting up my military? I usually don't start creating squads until the third or fourth wave of migrants.
This depends. How willing are you to rely on traps and drawbridges to defend yourself? If you have no qualms about turtling or spamming traps for early defense, then starting to pick migrants for squads from the second year on is fine. If you're going for an open-fort policy, though, it's best to bring at least one military dwarf from the very beginning and focus on filling military squads for defense.
- Should I include females in my squads? I've never gotten a definite answer.
If you use danger rooms, no. Danger rooms are spectacular baby squishers. If you train the old-fashioned way, I'd still not recommend it, but a proper infrastructure for happiness and a sufficiently-jaded military dwarf will probably not care about losing a baby here and there. I personally keep married females out of my squads for ease, though.
- Should I consider age when creating squads. A lot of my dwarves are old.
Only if they're 150 or more, which is when they'll start rolling for old age death. Otherwise even an "old" dwarf of 120 will give you 40 years of military service, so it's not something to worry about until your fort has been going for decades or more.
- I've read over the trading tutorial on the Wiki several times and I still don't know what I'm doing. I get to like the second menu and set goods to a priority but I don't know if that's what I want from them or what I want to give them. That's as far as I get, really. I always have a broker who's only allowed to trade.
I don't know what exact problems you're having with trading so I'm just gonna write everything. When you're setting goods to a priority, that's you actually requesting goods. The caravan next year will bring more of those supplies, depending on how urgent you mark it (blue is less important, yellow is very important). The more important you mark the goods, the more they'll prioritize bringing them, but the more expensive they will be. After you confirm which goods you want on priority, then you'll get a third screen with a little list of usually about 10 items or so that the mountainhomes want, similarly marked for importance (if goblets, for example, are marked yellow, then they'll pay much more for goblets). To actually trade, make sure the caravan is done unloading, request your trader at the depot (q -> r) and when both your trader and the caravan are ready at the depot, trade! (q -> t) Your items for trade are on the right side (bring goods with q -> g, go through the list and hit enter on what you want to sell and wait for your dwarves to haul it to the depot). Mark all the goods you want to sell on the right with enter (goods marked for trade will get a [T]), and mark the goods you want to buy from the traders on the left, and always watch the numbers on the bottom. The value on the trader's side should be black, not red, and for the traders to accept your offer you usually want a trader profit of at least half that value. Once you have marked everything you want to trade, hit "t" to trade. The top box of text will tell you if you're successful or not: he'll thank you for your business if they accept with no question, make a counteroffer if the trader profit is close but not enough to trade, or refuse if your offer is too low/your goods are too heavy for the caravan (monitored at the bottom). If your trader has the Judge of Intent skill, you can also track the merchant's mood in this text box: if he seems "willing to trade" you're doing good or haven't pissed them off yet, "seems ecstatic with the trading" means you've given him a good deal (ecstatic traders bring more goods next year and thus more business) and if you keep trying to force a non-acceptable trade (or offer elves wood products) they will eventually drop to "unwilling to trade" where they'll refuse any further trade attempts and pack up and leave once you exit the trading screen. Also, be careful to TRADE in the trade screen, NOT offer. Offer gives away the goods for free to improve civ relations (and get the king and such in dwarven nobility), it does not offer the goods for trade. It's a common mistake to make for new players.
- I create a room, an archery target, and set it as a training room for my archer squad. I set the squad to active/training and assign the room to that squad but I never see them in there. This was most recently. I have crossbows and bolts ready to go so I don't understand the problem. It shows my soldiers as having nothing to do.
Like Verdant said, create a normal barracks for them. It should help.
- I attempted to set up an archery tower recently. I built a floor, then walls around it but I couldn't build stairs on the ground floor going up. I was going to build a door to get inside on the lower floor but I couldn't even proceed to a second floor. In a separate location outside I just placed upward stairs on the ground and got my second floor created. I built walls out of sandstone surrounding my second floor. Now my question is how do I fortify the walls? I tried to fortify the built walls on the second floor but it wouldn't let me. Does it require a certain stone or material? Remember it was sandstone.
If you build a floor with the Construct menu, you can't build any other Construct buildings on it: walls, ramps, stairs, etc. Leave a bare spot to build stairs on in the future. As for fortifications, you can't smooth or carve fortifications on constructed walls, you'll have to build them like the walls ( b -> C -> F). Again, remember that you can't build them on a previous construction such as a floor. So remove the walls and replace them with constructed fortifications.
- Getting thread seems to be a problem for me. I never have the right material. Do I need seeds or wheat or something besides animals? The farmer's workshop won't let me process plants. It tells me I don't have any plants available or their dead plants or something. I don't understand. I have a farm going. I usually start planting plump helmets in it's own plot. I know I brought other seeds and wheats and stuff. I've never successfully processed a plant.
You need a fully-grown plant to process. To make thread, you'll need pig tails (underground) or rope reeds (aboveground). If you're continuously brewing, turn off brewing for pig tails in the Kitchen menu (from the z screen). Make sure you have a farm plot dedicated to growing pig tails and/or rope reeds (pig tails only grow in summer and fall, for the record). Make sure you've got some idle dwarves to harvest grown plants as well. Once you've got some pig tails or rope reeds in your food stockpiles, choose to process plants. As long as the workshop isn't restricted to a different stockpile and there's no burrows in the way, then a dwarf with the threshing skill enabled will come along and turn the plants into thread. You can get some fully-grown plants immediately by having a dwarf with plant gathering enabled and designating a swath of shrubs to be harvested - they might find some pig tails or rope reeds for you. You can also get thread from silk (found in the caverns, can be risky but there's usually a lot of it, build a loom and set a Collect Webs job and a Weaving-enabled dwarf will go out into the caverns and harvest the stuff) or by shearing livestock (alpacas, sheep, and llamas give wool when sheared at a farmer's workshop, which can be spun into thread at the same workshop).
- I never embark with hunter. I usually wait until I get a butcher shop set up before hunting and when I do I start getting flies. I keep the butcher shop in a closed off room with a door but I guess I need to start butchering or extracting immediately after bringing back an animal?
Flies don't really matter (aside from annoying dwarves, which is usually negligible if your infrastructure is sound). Make sure you have a tanner's workshop set up as well to tan the skin into leather, and a refuse stockpile to accept the byproducts. After that, just make sure you have idle dwarves with hauling enabled to keep the the butcher's shop clean and make sure nothing rots inside it. You can prevent miasma by either having your butchering stuff outside (risky but no miasma), closing off the area with doors so miasma doesn't spread, or just making sure that your labor chain is always ready to process kills (a butcher, a tanner, and haulers to carry stuff). A hunter should automatically bring back his kills to an available butcher's shop as long as he's not interrupted, and unless you change the Orders (press o) then a butcher should automatically be queued to process the kill, and a tanner to make leather after that happens. If a hunter drops his kill, make sure that you have a refuse stockpile that accepts corpses (trough q -> s on an existing stockpile) and that dwarves will gather outside refuse through the Orders screen - then, even if a hunter drops his kill while returning it, a hauling dwarf will go outside and grab it and bring it back, after which you can queue up a butchering job manually.
- Because of the 2 previous issues above I can never move on to tanning, or spinning, etc. I want to be able to create items for soldiers like flasks and waterskins.
See above. Make sure that the hunter is properly bringing back his kills, make sure that you have a dwarf with Butchering enabled as a skill, make sure you have dwarves available for hauling. Unless you mess with orders, butchering and tanning should happen automatically unless the hunter is interrupted. If stuff is rotting in the butcher's shop, make sure that your butchery dwarf has ONLY butchering enabled so he won't be distracted with hauling or planting or something.
- I use a tileset. After a while my miners begin blinking from like black and white to color. What does that mean?
That just means that they are now legendary miners. All dwarves who achieve Legendary in a skill start flashing. Legendary dwarves are very skilled and valuable. Legendary miners mine much faster than others.
- Setting up a pen/pasture on an area over or around water, will the animals drink from it automatically? If not do I designate a water source but wouldn't that mean I would have to remove the pen/pasture?
Animals do not need to drink water unless they possess the CAN_SPEAK tag. Yours cows and sheep will live out long healthy lives with no need for water at all. If you have a CAN_SPEAK animal tamed in your fort (impossible without mods in the current version, I believe) then you would need to designate a pen/pasture AND a water source (you can assign multiple uses to an activity zone, so making a zone with a bit hanging over a brook or murky pool will give you a pasture with a water source) but since this does not happen in vanilla, you do not need to worry about giving your animals water.
- When would be a good time to start building outside defenses like walls, towers, traps, etc.? I usually get a bunch of stone fall traps set up but that won't work forever.
As soon as possible, honestly. Set a dwarf to making some stone blocks (you get 4 blocks per 1 boulder, so this will increase your building resources) and try to get a wall surrounding your entrance with a raising bridge linked to an inside lever in the first year. (Remember to keep the bridge three tiles wide for wagon access!) If possible roof it over for flying enemies and any unpleasant weather effects in evil biomes. Nothing in the game can destroy a raised bridge yet, so they're very useful entrance sealants, so a walled-off entrance with a drawbridge for access will keep you safe from any non-flying enemies until you're ready to face them head-on.