Hi Meph,
About the Slag idea. I feel that any complication which only results in requiring more space or more dwarven labour accomplishes exactly nothing, as both those commodities are typically extremely cheap (for me at least). I do like the intention of making acquiring metals somewhat harder, both from the perspective that it is very easy to get any ore you want in the first place (either from mining, trading [which, by the way, is also completely broken in that I can trade whole caravans worth for 3 gold goblets], or in your case, even the transmuting), and secondly also because once you have ores the rest of the process is trivial. Introducing more workshops or by-products doesn't really fix this, and I think that slag won't prevent fully steel-clad dwarves before the first caravan, like you mention as an example. I feel the main problem lies with the supply of ores, not the industry around it.
What I'd like to see is an embark with, for example, one type of metal somewhat common, a few other types rare, and the rest only (modestly and expensively) trade-able. However, I have not found this balance yet, as I can only seem to switch between 'swim in ALL the metals' and 'nothing shiny in sight' in the world gen parameters.
What might also work is making cave-ins for too large empty rooms actually possible, making the process of mining actually dangerous (however not as randomly deadly as warpstone did. I kinda disliked that you do a little exploratory mining and suddenly lose three miners to some smoke. Carefully planning out a pattern that won't collapse, or better yet needs reinforcing, would be more up my alley). But I don't really see that happening without toady doing it himself.
Just my two cents.