Most of my fortresses nowadays end up abandoned (be it due to boredom or FPS dipping too low), so I've been doing a lot more RP-ish choices, rather than min-maxing. In the case of the Warlock race, that means the Warlocks and Witches themselves do absolutely no manual labor (after the first skeletons and zombies are ready, of course).
My embark usually consists of 1 Keeper of Knowledge (with managing and bookkeeping), 1 Doctor (2 in each medical skill), sometimes a Jeweler... and the military. All others (if I embark with more than default 7) get Sorcery and nothing else (because I want to gouge my eyes out, if I have to assign more starting skills).
The warlocks with best military stats will be pre-designated as the Overlord and 2-4 of the Riders - they get 5 Dodger and some combination of skills in Magic Weapon User, Shield User and Armor User. Dodger I always found the most useful skill to start out with, and IIRC Magic Weapon User is the only skill they level up naturally?
I always allocate at least 2 of the Rider positions to Warlocks - I like to specialize them (in terms of spells) in late game. Also, the Overlord and assorted Riders tend to train together for a while before being actually assigned to their proper positions - can't have a Rider of Apocalypse that's only done Individual Drills, or the poor bugger gets his head chopped off by the first elf he comes across. Quite embarrasing.
Anyway, as soon as the early souls are in and some animals / prisoners are slaughtered, Zombies are made responsible for all hauling (and only that), and all Skeletons are made responsible for all other manual labor (at least until I've enough souls to actually inscribe some skills into them). Ghouls I rarely work with - the transformation's always been super wonky for me, and my first ghoul went insane when I forgot to make him some clothing
So yeah, I don't really use my spare warlocks for anything either. I do like the idea that they're just sitting on their butts, drinking the wine their skeletal servants brew for them
However, I have modded in a sort of Mage captain position - assuming I'm still playing that late into the game, I sometimes draft a few spare warlocks, teach them some ranged spells (well, fireballs mostly, really), and have them provide some extra firepower for my melee skeletons and archers.
Oh, and as for killing animals - the Overlord is super effective at that, given his super-speed. But I'm quite sure you need to run the reaction in his Throne Room, turning him into the Overlord caste, to actually get these bonuses - rather than just assigning him the noble position. I find it a little cheesy to give him all the bonuses without a noble position, though, so early on I just send skeletons or even the Riders to hunt. It's slow, but also really good for a laugh - watching the oh-so-terrifying Death and Pestilence run after a capybara, chasing them around the entire map