The other common workaround for the Bronze Colossus is to give it some sort of Soul Shard or something that acts as a brain. When that dies, it's reduced to just a statue.
I suppose a Shadow-of-the-Colossus dealy where they have a weak point or magic runes on them or whatever that make them die if they're damaged would be one option, but that'd require stuff like called shots (or even the ability to climb up on a monster and run around, or whatever epic madness you can imagine.)
Honestly, the current situation -- where you can pretty much only kill a Bronze Colossus by immersing it in magma or something similar -- isn't
that bad. They can't climb, they can't dig, and they'll probably never get either of those abilities. This makes them relatively manageable for players who have the chance to exploit it, even if it can be a bit frustrating to people who want to be able to meet everything in battle.
It might also be neat if there were more ways to order your dwarves to use fire as a weapon. That seems to be one of the few Bronze Colossus weaknesses, although I'm not sure if it'd get hot enough to cause melting.
But in terms of material damage... it's hard to imagine hitting a giant solid bronze statue with an axe until it breaks. If it's hollow, maybe. But just because steel is harder than bronze doesn't mean your axe is going to keep its edge if you try to hack through a huge solid piece of the stuff...
Does denting impair function at the moment? Could a leg get so badly bent out of shape by hammerdwarves hitting it with giant hammers that the Colossus can't walk anymore? Realistically, hammers seem like the logical way to deal with a Bronze Colossus to me -- they won't get damaged themselves the way a metal weapon would, you can knock the enemy over, and eventually the beating will make something break or bend out of shape.