Yeah, that'll happen.
If you want a quick way to get a bit more survivable, find somewhere safe you can slelep which has animals around like cats or turkeys, get a full suit of armor and a bunch of shields, then go wrestle a cat until you get tired and hungry, head somewhere to sleep, eat, drink, rest up, you'll get armor/dodging/shield skills up pretty quickly just holding on to a cat with your arm and letting it swing at you, and you can hit shift+c to change your combat preferences to close combat, stand ground, dodge away and you'll be able to move towards it and wrestle it when it gets tired and falls over (if it is standing you'll throw it and possibly kill it) but a bit of that will let you move faster and provide some much needed survivability.
Fortresses will have stuff in the depots, if you can't buy it but don't want to get branded a thief you can kinda exploit it a bit and pick something up, drop it away from the depot and rest for an hour, it'll be unpriced and you can use it if you're desperate for food/gear. Hamlets will occasionally have food, keeps will usually have some stuff available and you can often find a waterskin and backpack in a bandit camp.
If you're interested but more comfortable with fort mode you can also do what I did the first time I adventured which was make a backup save (in case you mess up something and/or regret it later but it should be fixable if you do it properly) and then in dfhack type mode set, hit 2 for arena mode, don't unpause, hit k and assume control of your chosen dorf, mode set, hit 1 for adventurer mode, dfusion, hit 2 for adventurer tools, hit 2 again for change adventurer, you should now be able to save, retire, and travel without any glitches or losing anything.
You can do this and get the effect of being "locally important in a fortress" but guarantee you have exits since, well, you know the layout as you designed it.
Also makes you look at how you lay things out in a whole new way, I'll definitely give more thought to certain staircase and hallway designs after traversing them with other dorfs as an adventurer.