In order to make an alert in which your fortress goes in lockdown, here's what you do:
First you create the (empty) alert. Do this by going into the alert screen (accessed by the military screen, do m - a) and create an alert, by pressing c. This will create an alert that does nothing. You can name the alert accordingly by naming it pressing N. For instance "Get in da bunka!".
Then you select the alert you just created, and hit right until you can select a burrow. Select which burrow you want your civilians to flee to and hit enter, and a little marker will appear outside of it. Now, whenever you switch your civilians to this alert, they will all remain inside of the burrow you have selected.
In order to get your military to guard the burrow, find your squad(s) and go into their schedule. In their schedule you need to toggle between the different alerts until you get to your "Get in da bunka!" alert. So far, they have no orders under this alert, and it should say so under each month. Select whichever month and hit "o" to issue an order. Now toggle between the various orders (Patrol - Station - Train - Burrow) until you get to the burrow, now select the burrow you want them to protect. Repeat this on every month, or simply copy/paste the order, until every month says "burrow".
Now you have an alert where, if toggled for your military and civilians simultaneously, will have your civilians go or remain in the burrow designated, and your military will protect the burrow designated.
Alternatively you can experiment with the station and patrol orders too. These require points or patroll routes between points instead of burrows.
And if you want to skip all of that, simply issuing a "move" or "kill" command will supercede anything your military does apart from severe hunger/thirst/drowsiness/wounds and picking up/dropping equipment.
And the arsenal dwarf doesn't require a sheriff, he is sometimes a bit late though. Just hang in there until you get him. Until then, I recommend you appoint a manager and grind up his organizing skill, then appoint that dwarf as your arsenal dwarf whenever the slot opens up. I always have my arsenal dwarf and manager as the same dwarf, since the skill is the same, and it makes training it much much faster. Once you get him to "great" or so organizer, you'll never notice any lag between any equipment orders you issue and your dwarves responding to these. Unless your arsenal dwarf is busy eating or drinking by then, of course.