Ha ha ha! Sorry to laugh, but it brings back (fairly recent) memories for me. I remember one time following the advice to grind wrestling skills against easy opponents. I decided to wrestle a duck. First try it hits me in the head. I go unconscious. It kills me. That was several versions ago and it doesn't seem quite so brutal any more, but it's still easy to die in adventure mode.
My advice for companions is to go to a dwarven drinking hillock and recruit drunks. They *always* come. This allows you to avoid the boogyman. When I started to try to get good at adventure mode (still not there yet!) I got killed by the boogyman every single game.
A couple of generic pieces of advice: always travel with a companion until you get the hang of the game. If your companion dies or wanders off, absolutely boot it to the nearest *unabandoned* town (if it has abandoned houses, keep going). Companions are hard to keep alive at first. Don't sweat it if they die. Drinking hillocks have a fairly large supply of drunks.
Also, one thing I think is really common is to play the game too fast. When you first start out, get a hold of your surroundings. I believe the key is "W" (I don't have an adventure game handy). From there you can get a lot of information. There is a map that will show you your surroundings. Move the cursor around to get an idea of the areas. Adventure mode has the concept of named regions (usually forests or plains or whatever). Your adventurer will be familiar with the ones nearest to you. Move the cursor around to see what they are all called. Next in the same W screen, you can hit "b" to get a look at the beastiary. This lists all the animals you might encounter and what region they are in. Again, your adventurer only knows about the ones near their starting location at first. Go through each of the animals to see where they are located. Take note of animals that look like they might be dangerous and consider starting off in calmer areas. Finally, you can have a look at the people you know (p??? I forget). My advice is to walk around in your starting area and try to meet those people. It will give you practice with the game and give you an idea for your layout.
Because of the boogeymen, even if you have companions, it is not a bad idea to base yourself in your starting area. You can make day trips to the surrounding countryside and do some hunting. Come back before night fall. This also lets you walk around and try to find other towns that are nearby. You may or may not need to hunt to survive. Often you can find farmers who have bags of food lying around. You can take that food if you want (as long as it doesn't have a $ in the name). It depends on how you want to play the game. I tend to like to buy things, which forces me to hunt and carve bones to pay for my stuff, but that's really up to you. If you decided to hunt, you need to kill things that are big enough to butcher (unless you are just grinding skills). Learn when to run away. Many injuries will heal when you fast travel, but some will not. Eventually the injuries pile up and you may need to retire.
Finally, to get good at fighting, read the Kisat Dur thread. It's amazing. Some very brief advice: Killing is generally done by decapitation, major trauma to internal organs, bleeding out, or suffocation. This is listed in reverse order of how easy it is for a peasant to do ;-) If you can cut a major artery, the thing you are fighting will almost certainly die eventually. If you manage to bruise both lungs, then the thing will suffocate. If you get a choke hold on and strangle them (as long as they are not too big for you, or a night creature), they will suffocate. One of the best strategies for weak players is to disable the opponent and then look for opportunities to suffocate or bleed out the opponent. The Kisat Dur thread gives lots of advice for disabling opponents.
Last piece of advice is to take it slowly and enjoy the small things of the game. My first 10 games or so were wandering around randomly until something killed me. I didn't really find it that fun. DF adventure mode is more about exploration and experimentation IMHO. Try to get an internal story going in your head and see if you can advance the plot. This will make it a lot more fun. Peasants are fairly hard to get started because you are not strong enough (and don't have enough equipment) to do any quests that people send you on. If you want to play that side of the game sooner, then start with a demi-god. When you get better at the game, start downgrading to hero and then peasant.