What I've been doing when I want to use a militia, is embarking with two military dwarves. I make sure they both have good qualities such as strong, tough, quick healing etc. Usually one is a proficient axeman and dodger, the other a proficient spearman and shield user. Embarking with a military is well worthwhile, and you can use them to hunt wildlife to put food on the table.
Initially I set the axeman to woodchopping and the spearman to some random task (perhaps smithing to create the squads gear, or leatherworking), but soon I construct an armorstand (usually outside at the entrance) turn it into a barracks, recruit them into a squad and set them to train (remembering to turn woodchopping off! Leaving it on causes "naked fighter syndrome"). The initial uniform I use I call "Mad Dwarf" and it consists of the following:
Helm
Cloak
Shield
Individual Choice: Melee.
The helm helps prevents brain injury, and the cloak helps to avoid silly little injuries like being bitten by a badger, and does help some in real battle. I try to give them the best helm I possibly can. It is worthwhile, IMO, bringing iron ore and fluxstone for making steel, and make at least 3 steel helms and 3 steel weapons. But even a bone helm is better than nothing.
When my first immigrant wave comes, I recruit the most promising of the immigrants (either in terms of skills, attributes or both), for a squad of 3. The final recruit is usually assigned either a sword or hammer.
The squad trains all year round. I give them nice bedrooms near the barracks. The bedroom is important. Military dwarves often don't have many sources of happiness, but a nice bedroom is a staple.
Usually within a couple of years, they'll be legendary fighters, some level of master in their chosen weapon, and with rising defensive skills.
Gradually I upgrade their uniform. It seems that there's not much point in having good armor until their armor user skill increases. With their high fighting skill (and shield and dodging skills) they seem to have no problem taking out the goblin ambushes without injury. But eventually you'll want them armored like battle tanks. It seems effective to prioritize mail shirts, gauntlets and high boots to get the whole body covered.
As more immigrants come I create additional squads of 3. These will usually be set to train in peace deeper in the fortress, since the alpha squad can take care of most threats.
One little note, is that you can often get a carpenter high enough skill to produce masterwork wooden shields, long before you can produce masterwork metal shields. The same goes for masterwork leather shields, if you are lucky enough to get a high level leatherworker from a mood or immigration. A masterwork shield is better at blocking than an ordinary shield, and this will usually trump the benefit of a heavier shield for "shield bashing". Also if you are lucky enough to get an artifact weapon, shield or armor piece from a mood, then be sure to manually assign it using m(ilitary)-e(quip), otherwise it'll tend to sit around gathering dust.
The final thing is to build a hospital. At a minimum you want to have cloth, thread, splints, crutches and soap! Soap is important, as is a working well (or just a hole above a reservoir) in the hospital itself. Having ready access to soap and water will greatly improve the life expectancy of your wounded, even if they're being treated by peasants with no medical skill.
If you want a really strong militia, embark with 6 military dwarves, ore to produce steel and/or bronze, and one herbalist/carpenter to feed them
. It's tough at the start, but after a couple of immigration waves the labor will be totally under control but your militia will be godly.