Set yourself up a bone industry, preferably one that doesn't rely on creatures that take ages to reach maximum size and that don't generate such a huge stack of bones that each bone related job at the craftdwarf's workshop counts as maximum clutter. Non-grazers/trainable animals obviously work best for this, as do animals with X3 and X4 value multipliers; this means embarking on a Savage biome is probably best. What does a bone industry allow you to do? Well set up legions and legions of marksdwarves!
With controlled catsplosions from 2 or 3 different species of animal you'll be able to produce enough bolts to keep a large force of marksdwarves geared up. Bones server as weapons and shaped armor and the leather goes for hoods/cloaks/trousers/mittens/shields. Slowly turn your best marksdwarves into hammerdwarves and equip them with the steel/bronze/iron you can import, acquire from invaders and dig up from your quarry. With good management, training and terrain set-up, your marksdwarves will be at virtually no risk and they'll easily be able to disable and kill very large groups of enemies.
Also, clay is your best friend - for your first time aim for an embark with fire clay because of Stoneware's higher value. Expensive statues will keep your population happy and you'll get a replenishable building material as well as good trading exports from the crafts.