Well, all constructions get auto-deconstructed, so that's out. I'm not 100% sure about staircases carved out of natural rock though.
Also, I did more arena testing. It seems like the order of falling is rock, then liquid, then dwarves. Since it's been established that caveins move their liquid up one level, I can't just leave the bottom layer of the "bowl" empty. If I fill it with water, the dwarf gets trapped in cooling lava as it falls. Btw, all this testing is with 4 layers of lava and 4 open levels above, because the arena unfortunately seems to have a set # of z levels even when you edit arena.txt. Thus, I can't really test some of the more complicated methods that suggest sandwhiching rock and water. That may be the key if this is possible.
Also, what is our definition of success here? A completely unattached bubble of rock around one or more creatures surviving after landing at the bottom of an arbitrary level of lava? "Survival" could use better defining, I guess. I don't think indefinite is necessary, but being able to survive to landing conditions until hunger/thirst kick in seems fair. This means no major (hopefully none at all) injuries, and no magma or water in the bubble with them.