1. Find a place on the edge of the map with a very few sqaures actually touching the edge... 3 minimum, 5 is perfect, larger than 5 gets to be more and more work the larger it gets.
2. Channel excess land away from this edge, leaving a 5x5 square that touches the edge and has no ramps up to it (well, you probably want to leave one for now, but remove it later). Ramps on the edge of the map can be removed by building a floor on them (and then removing it, if you like). This will be called the Entryway for the rest of the post.
3. Build a 3-wide floor straight to... the z-level ABOVE the Entryway.
4. Build a skybridge to the entryway directly beneath said floor. Build walls on both sides of the bridge - the floor above keeps any walls that are built out of order from collapsing (yay) and protects the caravans that will eventually use this. Use actual bridges for this sky-bridge (more on this later). If you're really sadistic and/or playing with a mod that has lots of creatures larger than size 10, build your skybridge 2 rows of hatches, one row of floor (hatches can drop large creatures, bridges can't).
5. Build raising bridges along all exposed edges of your entryway except the 3 where you want caravan to enter. Raise them. (This should keep anything from spawning there, and, since there's no other access, it's almost completely safe - being able to drop anything that's on your bridge takes care of unwanted visitors - goblins, elvish caravans, whatever).
6. Build floodgates/doors/bridges/whatever such that, when you pull the right lever, the ONLY way to your depot is via your skybridge.
Tada. Now you will always get caravans along one very protected route. If you are worried about thieves or ambushers on your skybridge (a wise thing to worry about), make a break in the flooring above it and chain some animals there where they will always see whatever is coming.
The only weakness with this is the liason... but then, he tends to get himself killed, anyway (since he's too dumb to come with the caravan).