How I get my dwarves to X-masters with legendary fighting and 6-10 in other skills in ~2-3 years;
- Create squads of 10 dwarfs at a time with the metal armour (or whatever you use) uniform
- Set the barracks to allow training and sleep (Z & T) for the squad
- Set the dwarfs to train all year round with a minimum of 8
- Allow them to carry food and drink and make sure they all have backpacks and water-skins
- Set the squad to the Active/Training alert
By doing the above I reliably get axe-lords with legendary fighting fairly quickly from recruits with no military skills at all. Training starts off very slowly but soon picks up once they have around 6-10 levels in fighting and begin to gain some levels in observer/concentration/teacher/student etc. Fighting is the quickest to legendary, followed closely by weapon skills and then shield skills. Dodging/biting/kicking/striking etc. seem to take quite a while to train without actual combat experience, being only around level 6-8 after 2.5 years training. Military skills at these levels should be more than adequate to deal with any threats you encounter provided you can get them kitted out in at least bronze, preferably iron and ideally steel. It's not as if your military are supposed to be a ridiculously strong invincible force, you should expect casualties. If you don't want casualties seal yourself in or use traps. If you only have access to copper it may be worth finding alternative methods to kill any threats until you can find a way to acquire better materials.
Once you have a fairly decent number of good military dwarfs it would be useful to split them up in to separate squads to teach new recruits - their high teacher and organiser skills will help a fair bit. I'd also advise flooding your barracks to 5/7 water for a few months of the year and locking the door, swimming can be very useful if your militia commander with all legendary skills and full adamantite gear manages to dodge in to a pond.
Note: I haven't tried using smaller squads with comparable starting skills to see if smaller squads train more quickly, but I'm very happy with the results of my training method and I regularly see 2-4 members of each 10-man squad sparring.
Edit: Having the dwarves sleep in the barracks and keeping a food/drink stockpile nearby helps a lot but if they start getting too unhappy with the constant training it may be worth allowing them to sleep in their own rooms or placing some statues around.
Edit2: I haven't really tried using marksdwarfs so I can't comment on an effective method of training them. Melee squads usually function perfectly fine for me with no other defence, just make sure your dwarfs won't be charging down any long corridors towards ranged gobbos.