I'm doing something similar, though I'm allowing myself to dig out small amounts of manufactured obsidian, and ice for practice. Also a small chamber for farming, a well, and a sand collection area... And a bit of terracing. Really, I'm doing it more out of perfectionism than as a challenge, since I hate to do anything that can't be undone... I still have a basic idea of the problems associated with the lack of mining though.
Anyway, my advice: First of all, I'm pretty sure that a given 'collect sand' job can only be worked on by a single dwarf, so you'll probably have to make a bunch of glass furnaces with that job on repeat so as to collect enough sand for a serious glass industry. They don't have to be over magma of course, since you're not actually making anything with them.
Of course, you'll need a lot of bags. Leather is good, if you've got a decent leatherworker, since you can get lots of it for a low price from the traders. If you're willing to risk a catsplosion, you can even breed your own supply.
Keep in mind that you need to bring at least one stone with you on embark... You can't make a furnace without it, even if it isn't over magma. Sounds like you were already planning to do that though. Metal bars work too, actually. Also, since you'll probably want to use the magma for defenses and such, you should make sure to get a starting civ that has access to bauxite for mechanisms.
I'd suggest getting a location with lots of trees, or just bring lots of wood with you on embark. Until you get more dwarves, glass blocks will be too scarce to make large constructions. Besides, wood means beds, barrels, steel, and clear glass.
For single story buildings, keep in mind that you can use a bridge as a roof for fewer construction materials. Works well for making a quick storehouse for food, which will rot quickly if you aren't fast enough after embarking.
Since you'll be embarking near magma, be sure to clear it of imps as soon as possible. Might even want to embark with weapons and military dwarves if you're not willing to save-scum after a forest fire. This is kind of obvious I guess, but I did run into some issues when I embarked, so I figured I'd mention it.
Next, I'd suggest you bring more than one dwarf who is proficient in glassmaking... I didn't, and I'm pretty sure it's slowing things up a fair bit. Might even want to bring a gem setter, since you'll have plenty of green glass to put on trade goods, though maybe not. I just use syrup roasts.
Speaking of which, try trading windows. I hear they're worth a lot when you've got a good glassmaker, and it's not like you have any shortage of glass to practice on.
Finally, I'd suggest a wall around whatever you think you might need. Kobolds are a serious annoyance when you don't have a single chokepoint as the entrance to your fort, and goblins might be a problem too, since it takes longer to set up defenses. Just put the trade depot on the outside, and wall yourself in until the traders come. Might even have a second depot inside the wall, and forbid the outer one after opening up a passage for the wagons when they come.
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Topic: Starting a "no mining" challenge (Read 8587 times)