You can do this in the first year EASY. Just make sure to bring the rope for the restraints and the wardog...
You can do it in the first week if that's what you're worried about, but they never(?) show up before 1st Summer, and rarely before 1st Fall.
That gives you time to bring "dogs" instead of "wardogs" and train them yourself (have any "outside" dwarves do it, they stick around their trainers until assigned), and then make a chain from some copper ore or copper bar (both cheaper than buying rope at embark, and you should(?) have some sort of metal-bashing set-up by Summer anyway. (Make your own axe, save bookoo dwarfbux.)
Minimizing entrances is key, and restraining any animal as a guard in the middle of your 3-wide caravan entrance is a guarantee early-warning system.
Read wiki "dog", "thief" and "DIY". Also "what should I build first" and "defense guide" for longer, more general discussions, to get your early priorities in line (which, if snatchers are waltzing into your fortress unannounced, they're not. Sorry, that's just the hard truth).
But, to answer your immediate question, <a>ctivate the nearest dwarf (any untrained wrestler will do fine unless they're
very unlucky) and use <x>, <l>ock, and < s >tation to send them in the snatcher's direction. Make sure they are going to "harass dangerous animals" and "chase opponents" (<m>, <v>iew, & etc).
And read the wiki more - know your options before you need to. 'at's what it's there for.