darkflagrance's Fortress Defense mod will make you get sieged as early as the first winter. Usually, you'll be getting a siege two to four times per season by the time you would be getting sieges for the first time in vanilla. The difficulty of the first sieges is relatively low, though that matters less when you've not had much time to get soldiers with decent skills or equipment yet, but it ramps up quickly. By the end, you'll be getting creatures that put any goblin to shame; Nightwings in particular are brutal, with immunities to pretty much everything but sheer damage (they don't drown, burn, don't trigger traps, don't bleed, breathe, get stunned, get nauseous, feel no fear... Their list of immunities is huge, and they fly). Myself, I find getting rid of all but 3-5 of the enemy races is more than enough for a constant stream of Fun, without the annoying fact that you don't get many caravans with too many sieges coming in.
Deon's Genesis mod also adds difficulty, IIRC, including more hostile civs, but adds a lot of other things, too, that I dislike. Tons more plants, domestic animals, metals, a couple of extra stones... It's mostly just annoying. Mephansteras's Civilization Forge mod is similar, but even more civs, both hostile and friendly.
You might also look into one of the mods that changes the playable race, such as Kobold Camp, which is significantly harder since it A) makes everyone hate you, B) severely reduces the availability of decent equipment, C) reduces the availability of stone, D) reduces the individual power of your people, and otherwise just makes the game a whole lot harder. Other conversion mods change other things, such as Wizard Tower which makes your own people harder to please and more prone to internal conflict as well.
But yeah, modding is probably what you're going to want to look into, or simply see if you can't get a more dangerous embark to begin with.