wow, if only a quarter of what is said here were put into the wiki
More than you probably think is on the wiki; one just has to know where to look and be able to interpret the information correctly. This, unfortunately, usually takes quite a bit of experience.
1. Can thieves pass thru locked doors? I guess yes.
Kobolds can, goblins can't. It has to do with the [LOCKPICKER] tag. Goblin thieves aren't even immune to traps, though goblin
master thieves have a very good chance of avoiding them.
2. Are goblin thieves arriving by teleport before the fortress as I believe or do they sneak from the border of the map and get spotted only when they arrive.
All creatures spawn only at the edge of the map after embark. The goblin thieves sneak in from your borders to attempt to find your children.
Now, there is a bug involving non-square maps where this isn't the case. If your map isn't exactly square, the game will choose a square and for some purposes treat the borders of that square as if they were map borders, including the purpose of enemy spawns. This can, in fact, lead to creatures suddenly appearing in the middle of your fort, but if you play only on square maps, it isn't a problem.
3. Is it a good idea to unleash caged war dogs upon them when they pass an entry point, or do I muster militia (yes I'm a real newbie sorry)
There's no need to apologize; this game is hard to figure out.
Thieves will, when detected, immediately do everything in their power to get off the map, even if they haven't stolen anything yet. Since thieves tend to be faster than your dogs or dwarves, it's often impossible to catch them unless they're in the middle of your fort, so unleashing the hounds probably isn't a good idea since you'd have to rebuild the cage, relink it to the lever, and recage the dogs.
The best way to handle thieves is to have all entrances to your fort be 3 tiles wide or less and chain an animal on either side of the entrance. This makes it so that it is impossible for a creature to get into your fort without being adjacent to someone, which detects them, which makes thieves flee harmlessly. This also provides a good warning system against ambushes, limiting your losses to only the dogs which are relatively expendable compared to dwarves.
4. Are the monsters on the map spawning or when they are dead, there is no one left but monsters arriving by events (I mean goblin sieges and such)
I'm... not sure what you mean. Some creatures are associated with map features; fire imps in magma, carp in rivers, and the like. These do not respawn once captured or killed. There are also creatures that are associated with no feature that come from off the map, which can include things like deer and wild horses but can also include werewolves and other 'monsters.' These have limited numbers, but the majority are off-map and will appear to respawn for a while as you kill or capture them. Then there are people who come from off-map as traders, ambushers, thieves, siegers, and migrants, which are believed to be limitless, and megabeasts, which are strictly limited in number (usually half a dozen or less for a whole world after generation).