Thanks Lovechild!
I should have looked to the wiki myself, thanks for the input!!
I will edit this post with some SCIENCE! as soon as the attempt is made - I will put my trolls in a separated squad and order them to equip helms, we will see what they will wear.
I am also interested in why isn't there a troll-sized option in the first place - goblin do start with trolls, and without those kind of animal men - is it because trolls are sentient but not a civilization? They do count as animals at embark.
EDIT: SCIENCE! might take some times, I made the mistake of war-training my trolls, I cannot put them in a squad and so I don't know how to have them equipped. As the goblin merchant didn't carry any troll in this first trip, I can be forced to wait for natural reproduction of my couple. It may take some times.
EDIT2: "!!science!!" was less innovative than expected. As Lovechild said, Trolls can wear Polar Bear Men's and One or Two Humped Camel Men's clothes and armor, use weapons and all. It must be stressed with new players NOT to "war train" (or hunt train) them. Training the trolls to a role keeps them from becoming squad members in the military, which allows to give them exactly the armor (and weapons, and training) that you want.