Indeed, I've found that the liason is often goblin bait, due to the arrival point being away from the wagons. It certainly is a challenge to keep this person alive, hero or not.
As such, I have a SOP for dealing with this, and so far, it has worked out quite well.
0) Because marksdwarves are usually better at mobile combat, I tend to use them for escort duty.
1) When the season for the escort mission arrives, form up a fire team of marksdwarves near your gate.
2) Split the squad to single dwarves to avoid following the leader to other activities.
3) When the liason arrives, reform the squad with the dwarves available.
4) Set a patrol point between halfway and three-quarters of the way between the fortress entrance and the liason spawn point, adjusting for speed.
5) When the fire team intercepts the liason, cancel their patrol and set a station point at the entrance.
6) Keep a reserve team of marksdwarves or melee troops ready near the entrance, if possible, using the same method of forming a squad and splitting out, in case you need the muscle.
So far, I've not yet lost a liason over 10 years, and have rescued him several times. While running escort is dangerous, and requires attention and micromangement, I find that the presence of the human and dwarven liason is nice.
I never escort elves--they don't bother to bring their own guards for their caravan, and I see no reason to risk my dwarves' lives for a bunch of cloth when the elves themselves cannot provide adequate escort force for their merchants.