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[FallenAngel]

That's not too hard, actually.
Getting a military that won't require new recruits after every major fight is far harder.
The easiest piece of advice is find non-hunter migrants with combat skills. You don't need to check those labeled as Hunters, since that implies Marksdwarf. Create a squad, chuck the skilled ones in, crank out the appropriate weapons.
If you want them to slowly gain skill, make a barracks. Just dig out a room, preferably near either your entrance or cavern access, put a bed/chest/armor stand/weapon rack, make it a room, and if it's a bed, make it a barracks. Assign your squad(s) to train.

[Deboche]

I disagree somewhat, FallenAngel. All those skills they start with are usually not that great.

Making a military is pretty easy if you have the therapist. Just assign the jobs you need to keep the fortress running and get rid of useless ones. 1 milker/cheeser is enough for example. 1 fisherdwarf and 1 cleaner/dissector - though I usually don't fish at all. Do that for all the jobs you need.

Then see how many people are left with no jobs and assign those to military squads. I usually make my squads all male so that women don't go into battle with their babies but that's your choice.

Remember to make your own uniforms and assign them to the squads. Most important are breastplates and helms but you'll want a full set of metal armor and leather cloaks, ideally. When you have all the metal armor built, set it to replace clothes.

Then do what FallenAngel said and make them some barracks. They will train automatically.

If you don't have a population cap feel free to send your dwarves against whatever invaders show up. The ones that survive will be much stronger for it and you don't want your population to reach 200.

[FallenAngel]

There's a problem with enlisting the excess - some may have bad physical stats.
You don't want those with low strength or agility in your military.
Y'know, unless you use suicide squads.
It's often a good plan to recruit those with weapon skills from migrant waves - the skills aren't usually great, but it's better than starting at Dabbling.

[Deboche]

That's true but even if they already come with skills that doesn't mean they'll have strength or agility...

[Ancalagon_TB]

get familiar with the scheduling screen - that is where you dictate when you squads train, and how many.  It's a bit counter intuitive, but it's worth taking the effort to master it.

http://dwarffortresswiki.org/index.php/DF2014:Scheduling

[FukkenSaved]

If you're embarking in a situation very devoid of water (scorching and dry with no river) then you will need to make the most of the water on the map. You may find water underground. If there are murky pools then I would suggest either using water pumps to aggressively suck them dry or designating multiple water collection zones to get the dwarves working quickly. Or both. You need it underground fast before it evaporates. Simply having a tunnel from the murky pool will not work because it is rarely more than 1-deep, which does not spread. But sucking it or using buckets will get water when it is one deep.
Pump or dump the water into a tunnel that leads to your cistern; you may want a few small cisterns because water is so hard to replace. Cisterns seem to absorb water if there are not solid walls and floors so you will need to build them, with stone blocks as that's easiest. Build a well above that and that's your water supply. Also any tunnels that water is traveling through need stone block walls and floors. You also want the cisterns to extend at least three z-levels as higher levels are more pure, and two of those levels should be below the tunnel where it comes in to drain that as much as possible.

[Sadrice]

get familiar with the scheduling screen - that is where you dictate when you squads train, and how many.  It's a bit counter intuitive, but it's worth taking the effort to master it.

http://dwarffortresswiki.org/index.php/DF2014:Scheduling

I don't know about other people, I've never delved too deeply into military setups, but I've found that in 40.x, the scheduling screen is no longer essential.  Small squads will spar just fine with default settings (10 minimum), so long as they are active, you have set the barracks to train, and they have high enough skills for sparring.