Having tried to build underwater fortresses several times, i consider myself somewhat of an expert.
In general you have two approaches:
Dig your own hole, build a city and flood it. A somewhat cheap approach but MUCH faster and easier (not much hour long 2fps pumping) And as i see it the only way to build a proper sized magma fort. If a goodlooking endresult is your goal this should be your choice, since your are in full control of every aspect of your city and surrounding. But if your following the saying "the way is the goal" (is there such a proverb in English?) you should settle for the second approach which has a more "cool and realistic" feeling.
The second approach is to build in a preexisting water body. Since pumping and building walls would be somewhat of a lifelong and veeeeery boring task the only option i could come up with with is dropping obsidian walls (the kind which is produced by water and magma).
Having chosen this approach, your again left with two options:
1st: Dropping an obsidian fortress (or maybe just an access tunnel for a fort beneath the water, for easy defence purposes, or maybe build a dwarfy oil rig)
2nd: Dropping an dam around the edges of map, draining the all of the water inside, build your city and reflood. The advantages of this option are: you can build with materials of your choice, imagine a large clear glass dome for your nobles and dining room etc, glass access tunnels, some enclosed magma tunnels for heating and so on. The disadvantages are mostly that removing the lower levels of the dam should very difficult and the high time consumption.
When dropping obsidian walls be sure to keep at least 30 tiles distance to the left and right side of the map. There is something build in the game that dissolves dropped walls in a vertical row 20odd tiles from the left and right side. (Im not sure about the left side since i never tried it but positive with the right side since i experienced it myself in a lake and the ocean and it is also one of troubles the Blockaderhyming (mentioned above) ran into.)
An other thing to to decide is whether to to build in an ocean or a lake. The waves on the ocean create additional problems since they actually carry water and dropping it when they "flow" over a tile which has 0 water. But waves are not generated when the tile below the tile they first appear on has no water on it. On the other hand: it is much harder to find a place with a large lake, magma pipe, sand (a water fortress without windows ...), Bauxite (hell of a lot magma moving) and lots of trees (clear glass). But if someone is interested i could provide a map with all these features.
As soon as i get some kind of flash player running on this system i can upload my latest attempt which has already a complete dam.
w4ld
PS: sorry for my english