You also shouldn't make crossbows or ammo from it. The properties of the material make the stuff less dense than styrofoam, making it practically a nerf weapon for bludgeoning or projectile purposes, but it's pure unobtainium levels of sharpness let it carry an edge sharper than obsidian, which carries molecular-level sharpness.
Avoid going below the magma line until you're ready for the big top anything above that is safe. Frankly, you never really need to go visit the circus itself, it's just for "winning the game" purposes, and it tends to really mess with your FPS, anyway.
The most effective use for it is in making a few cutting or piercing weapons like spears and axes, (although "foreign" 2-handed swords are technically best, since they have a greater cutting area, making for greater limb-cleaving potential,) as spears all but completely bypass armor, going straight for organs, and axes are useful on anything with no organs, like non-organics, as well as making complete sets of armor for those who wield these things, as it makes them all but immune to piercing attacks, themselves. Layering something thick to pad against bludgeoning attacks below this is also reccomended, however. Completely coating your elite troops in a protective cotton candy coating (making them a candyman?) ensures that your heros with legendary everything relevant skills will be virtually invulnerable to anything but syndromes and capable of single-handedly wrecking whole sieges. (Who can suck all the challenge from the game? The candyman can!)
The stuff is absurdly valuable. Fortress wealth will start using pinball scoring, as it is nearly ten times more valuable than making something out of solid gold. This means fortress migrations will skyrocket, and if you weren't being visited by FBs on a weekly basis before, you sure will be, now.
Artifacts will be made of this stuff from now on. Oftentimes, they'll just grab six different clumps of it and decorate cotton candy with more cotton candy. This means you have to keep supplying the stuff to mooders, making a sort of ticking countdown to when you exhaust your supply. Not good for generation forts. Artifact armor, spears, and axes will be nice, of course, but odds are you're going to get artifact earrings that will just sit in a bin for all eternity. This is one of the few things people will admit to savescumming on just to get a better roll.
Because of these things, you might want to hold off on it at least until you have elites in your military, since they're the only ones who can really use it.
Personally, I and others like to hold off an actually obtaining the stuff - your artifacts, among other things, will soon become nothing but a parade of candy whatevers, you'll have to make sure it isn't being used for stupid purposes like sutures that can be made from any form of cloth, meaning you'll have to airlock it so that only fully authorized personal may touch the stuff, and if you have fun playing with the goblins at all, the stuff is not at all necessary. It tends to rush you towards "the end of the game", however that might work, since it makes plenty of migrants and bigger sieges and megabeasts and whatever all start wanting to come to your fortress in spades, meaning you either get that one FB that spreads the flesh-dissolving plague, you open the big top and have fun with the clowns, or you just "die of FPS death" when so many dead things clutter your fort. It really doesn't help you with anything outside of military, so if you don't want the "epic" combat scenes, you never have to touch it, except for when you want to see "the end of the game".