Losing is fun. Alright, I know. Git Gud, I know.
It is in an exhausted mood that I share to you the grim tale of my incompetence. And sometimes, I feel like I'm looking for all of this. All these fails, all these mistakes.
So I just lost another fortress. ...
Don't blame yourself and ignore the haters.
Here's my tip: the biggest challenge/frustration is that (by design) the rate of immigration exceeds your ability to accommodate the migrants. But here's the thing,
you don't have to accept the migrants. When they arrive, just expel them (v -> e, I think, it's in the unit view sidebar near the top).
Also, building a competent military is hard. Avoid starting a fortress near your civilization's enemies unless you have a defense plan (blocking the entrances to an underground fort with drawbridges is effective while you build a trap hall and train your militia).
Another option is to reclaim a procedurally generated fort instead of embarking to found a new one. You'll usually start with a bunch of rooms (and not much else).
Edit: I forgot to mention that locking doors (q -> l) works wonders in a pinch. It's seriously OP (except against furniture-destroying monsters, but even those will be slowed down).