Two options.
1) Arena fighting. Any enclosed area will work. Remember that goblin soldiers cannot escape their cages, but a goblin thief will! Build a cage, and then assign 5-10 goblins to this cage. Do not assign any thieves to this cage, as they'll escape. Strip them, link a mechanism, and let your military kill them. A disarmed goblin is slightly weaker than the average dwarven child, so you can train up wrestling on them even. A training axe and some leather armor will assure you're able to kill 5 goblins with 1 recruit, and get valuable skills.
2) A tall pit. I love to build a narrow tower, and then chunk goblins off it. The higher the better, I had a 50 level drop from my tower to the dirt, could have been deeper if I dug it down as well. Goblin chunks fly everywhere, and the severed parts are butcherable without modded ethics. Goblin bone bolts, goblin meat roasts, and goblin skull totems. You can also harden your dwarves, if they witness the death first-hand, they start to "not really care about anything anymore" which makes their mood hard to change.
Beyond that, you get into complicated mazes, magma traps, flood chambers, etc. There's more ways to kill a living being than we have the imagination for - though we sure as hell try our best to find them all. Just keep in mind that you can transfer goblin soldiers - not thieves - between cages similar to domestic animals, so you can dump them all in one cage to free up those other cages.