So if I want to bring a military dwarf or a couple of some sort should I also bring along some weapons and armor?
It's prohibitively expensive to bring actual weapons and armor of any material except copper - which is sub-par for military purposes - but you can easily afford some metal bars and immediately make decent equipment. If I'm embarking somewhere dangerous and want to maximize my early military strength, I usually bring:
(1) Two or three dwarves with military skills - usually 5 weapon skill + 5 dodging, because I find that fighter and shield user skills catch up quickly, and armor user won't be very important until later when you have full sets of metal armor.
(2) 5 Armorsmithing and 5 weaponsmithing on civilians (two different dwarves - you want to be able to make weapons and armor simultaneously later on when your metal industry gets going).
(3) Twenty or so metal bars, plus a bunch of wood for charcoal. I find copper+tin (forge into bronze) to be the most cost effective, although iron+flux for steel could be viable if you're not in a rush. You could even bring raw ore and start from scratch, although I feel like this delays my start too long, especially if the embark is potentially dangerous. If you went the copper+tin route, immediately make bronze weapons and copper tools (you can save points by not bringing picks and woodcutting axes, forge them instead*), then spend any remaining metal on bronze armor, throw in wooden or copper shields (material isn't too important for them) and you have a decent military.
Of course, all this is optional if your embark isn't immediately deadly, and you just want a head start on your military. For a relatively safe embark, I usually compromise by bringing two dwarves with military skills and just enough metal to forge picks + axes. The two military dwarves start out as miners, carving out the initial fort, then after the first or second migrant wave they switch to sparring and defending with weapons + wooden shields only. And even that is unnecessary if you want to seal up underground and/or use lots of traps, building up an early military is a playstyle preference, I just find it more fun.
*If the embark is
very deadly, say hordes of undead, I consider bringing one copper pick to immediately create a moat around the wagon, then forge the rest.