Ho boy. I can tell this is gonna take awhile.
Right. First off, thieves. They can bypass locked doors. So if you have multiple entrances, you should either chain dogs up by them or (the much, MUCH better solution) seal them up with constructions. More entrances means more places for goblins to come in and more places you need to defend with traps. Dogs also have to be able to be next to each tile in the hall, such as if your main hall is 3 wide, you need 1 dog chained to each side, preferably with no slope to the tiles (put them on the same axis and parallel on the other). If your hall is 2 or 1 wide, you only need 1 dog, but 1-wide isn't good for well-traveled places (as multiple things on 1 tile have to lie down, save one).
Now... military... yeah, they will, as long as when you go to the "e"quip section in the military screen you can see "battle axe" on each dorf's list. Also, designate a training room with armor/weapon racks (close it off with walls & doors to prevent civilians accidentally getting hit). Then, press T in the room's designation menu so they'll train there. However, if you kinda like having your dorfs with multiple limbs, you should build some training axes at your carpenter's workshop and have them equip them.
And finally... well, I'm not going to do this one unless I'm absolutely sure I know what you're talking about. Do you have any sort of underground farm which is producing crops? And if no, how the heck did you manage to figure out metalcrafting and the military system but not that? Seriously, it's not like it's easy, but those other systems are WAY more complicated!