The military is generally the perfect place to put immigrants that are otherwise useless. Put set up the barracks in such a way that anyone entering your fort must first go through the barracks, and thieves won't be a problem whatsoever. Guards will spar with each other and with soldiers, and while guards cannot be ordered around, they're a good thief screen and last line of defense.
As for recruits, just give them armor and a shield, set them to unarmed, and have them go at it. It'll train up wrestling, armor user, and shield skills, making them into formidable fighters if there's actually any fighting to do in the current 39c, since everyone seems to be at peace with everyone else.
Don't worry about training up weapon skills. They'll probably all kill each other before getting any appreciable skill in weapons. A legendary wrestler/shield user can be a complete newbie in using melee weapons and still pwn face. Also, don't worry much about recruits having injured spines. If they get hurt, refuse to train up like the rest of the champions, odds are they won't live too long on the battlefield. Just recycle their equipment for the next soap maker that immigrates.
Also, due to the tendency of dorfs to go eat/drink/sleep at the worst possible time, make many squads. I try to aim for about 3x as many soldiers as I actually need, such that even if half my army is AWOL I still have enough to take care of any hostiles. My usual setup is squads of 5, and about 5 squads total. Guards and royal guards are set at the minimum requested, as listed on the [m]ilitary screen.
And as for the Captain of the Guard, I usually also make him my broker/trader. Then I turn off all skills for him except for healthcare, and he's my general administrator, lever puller, and medic. He's the one good noble I have. The other nobles can go die in a fire for all I care, but I keep the Captain of the Guard safe and pampered. He's also always one of the original 7, so he'll be legendary at quite a few skills.