How do you go about it?
Embark on a flat map. Not having to level the ground will save much time.
I start with a dedicated mason/architect, and give both of my miners proficient masonry too. As soon as stone becomes available the dedicated mason begins 24/7 stone block construction that generally continues for years. Multiple masonry workshops, both above ground and belowground on top of the stone. When not digging, the miners join in masonry duty.
The dedicated mason is kept on stone block duty with a stone stockpile right next to him. While he's actively making blocks assign walls to built: start with a corner block in each corner of the visible map. Ideally you want the miner/masons to build walls as it's slower because of all the walking, and it's best to have the dedicated mason not lose any time to walking. Let the mine/masons do that.
From time to time add sections of wall. The important thing is simply to fill in between the corners to create a square, with drawbridge(s) blocking a three-wide entrance(s). Eventually you'll want something more complicated than that, in particular some "corridors" leading to/from the drawbridges to your forress entrance (assuming you're mixing above/brlow ground, anyway.) Don't designate it all at once. Do it in small sections or your primary mason may get involved and it's usually more efficient to keep him making blocks.
Once you're enclosed add stairs and start building a roof to a small section in or near the entrance for your barracks. Any hostiles coming inside will need to walk through your training dwarves (once you have them).
From here you're pretty much home free. Fill in the roof, add defenses, etc.
If you'll be building exclusively above-ground remember that things don't need to be enclosed. Workshops/farms/stockpiles can all be jammed together in one big mess. A small roof can be built on the opposite side for bedrooms. Also keep in mind that a single screen is not big enough to keep dwarves from being scared of things on the other side. You may need to build a second set of walls outside the first set. Do this before you start building up. Filling in entire levels of floor takes a
long time.
What about flying threats? Do you just ignore those,
or do you roof over your entire space?
Roof over, yes. And usually a second floor as well. But again...filling all that space in takes a long time. You can have a perimeter in the first season or so if you're fast, but a roof may takes years. As for flying threats...that's a bit of a problem at the moment because marksdwarves don't seem to work right in the current version. I've personally been playing 40d still partly because of that. It's more functional.