You can dual wield, but the only advantage seems to be 2 types of damage. I don't know if it would work with crossbows. I've thought about it before,but haven't tried yet. haven't used them much yet.
Training melee (without danger rooms) is time consuming. It goes MUCH faster if you have skilled teachers tho. and only 2 dwarfs per squad train at any given time. There's general consensus that 3 dwarf squads train much faster than 10 dwarf squads (in other words, 10 3-dwarf squads > 3 10-dwarf squads since you can have 20 dwarfs spar at once instead of 6) also allows much more flexibility -- do you really want to send 10 dwarfs after that one problem crundle that slipped in?
If I play without a population cap, I dump useless migrants into a marksdwarfs squad (or 2 or 3. 30 marksdwarfs will steamroll a siege even if they can't shoot for shit.) Set 3 dwarfs on repeat quivers, crossbows, and wood/ bone bolts. and use them for cannon fodder when the gobs come (maybe the replacement migrants will be worth their booze.) If you get elites, move them to their own squad and make them guard your walls or keep them in the back ranks. and give them some decent bolts.
Ya, just about any bolt will go through steel. Fortifications aren't as useful as implied, I've seen non-elite gobs Headshot dwarfs through them at range. Use meat shields. Dump war dogs (or nobles) on ranged gobs, then melee them and pray you don't get an elite ranged gob surrounded by hammers or flails. If all else fails, cage traps and cave-ins.
Blunt weapons seem to be able to get the quickest kills (often 1 hit kills with decent skill --jam skull through brain) but not reliably. Axes prolly the most reliable way to kill gobs quickly, spears great for big things that have lots of flesh to guard their organs. Spears my favorite tho. They get 1 hits as often as axes, penetrate deeper easier (torn flesh? come on!) and are cool (you gotta be bad ass to poke an elephant to death with a pointy stick) , but axe's dismemberment is a good way to disable a gob quicker than making him bleed out.
If xbow/spear dwarfs works let me know.