Swords, swords, swords. Most people use axes, but I practically swear by steel swords. The major advantage is that swords will also do piercing damage when stabbing, so fleshies will have their organs pierced. If they're steel, your dwarves should have little trouble chopping off colossus limbs and heads.
If you'd rather have a more diverse military, I like a combination of spear- and axedwarves. Keep the speardwarves ready as a first-response unit: they'll pierce organs and cause their enemies to give in to pain. Then send in the Axe Lords to finish them off. Again, use steel.
Side note: never use spears to fight a colossus, as IIRC it's immune to piercing damage.
Protip: There is no such thing as piercing damage, just slashing and blunt. Spears (and crossbow bolts) are slashing weapons with very low contact area and very high penetration depth, the opposite of the axe which is very high contact area and very low penetration depth.
That said, if you're taking on a bronze colossus your only real bet in a straight on fight is decapitation. Axes are excellent for that, although it will need to be a steel axe in order to penetrate his bronze skin. Swords could probably do it too. Blunt weapons are great at beating the living snot out of inorganic creatures, rendering them nearly helpless because all of their body parts are smashed to bits, but they are completely incapable of dealing a killing blow to a bronze colossus. I would definitely bring some just because it makes the fight safer, but you'll need an axe to finish him.
But, to do it safer, just capture him in a cage trap. A cage trap will always capture any creature that steps on it 100% of the time as long as it isn't trap immune (titans, forgotten beasts, demons, for example). From there he will be hauled to your animal stockpile and stay there indefinitely until you either let him out or you atomsmash his cage.