I've done this. Toady says there's no helping this for the moment, since he's currently making Dwarf Fortress. That said, he'll get to this eventually.
It's all to do with pathfinding.
I'd imagine that pathfinding would only be the start of it. Once you get them airborn, there'd have to be things like carry weight restrictions. After all, it wouldn't be fair if one of the critters could airlift an iron door up a cliff face while wielding a steel battle axe ('cause this one's a woodcutter.) Or troops kitted out in full steel armor and armed with mauls flying over the battlements (which have no gates and are carved from solid rock, of course) to engage the enemy. So Toady'd have to do quite a bit to get arial creature civilizations to even a basic level of sense, on top of just getting them flying right. Of course, it's not like that ever stopped him before.

Now, on the matter of free floating fortresses; I say it'll have to wait for an expansion of the alchemist's workshop abilities. This is 'cause I see such a structure being built outward from one or more cores of a gravity defying material made by an alchemist. It would require rare and precious ingrediants, but nothing that couldn't be brought by merchant caravan. Once the alchemist has cooked up this material, it would come out of the workshop in bar form, ready to be made into a "core" construction.
Since any building made of this material can be built without a floor, the core of a flying structure would be a wall or floor itself, to which the rest of the building would be attached. However, there would be limits to how much can be hung off of a construction made of such material, depending on the quality of it. It'd be a high value, to go with the high cost, otherwise you'd just use pillars. The "support value" would be transfered through the constructions, each one taking away a small bit, in a similar manner to the way power is distributed by axles in the game right now.
Oh well, it would be a great thing, but until Toady puts something like it in, we'll just have to be content with turning off cave-ins/collapses, or supporting such things with supports, which don't show up in 3Dwarf, I think. It'd still look cool.