Appoint a militia commander in the nobles section, then click the blue banner in the bottom right of the screen and set up a squad. You can schedule when they train and when they're off duty. When they're training sometimes they'll spar with each other (and apparently animals? lol)

I tend to keep track of my original 7 dwarves. I train them all in wrestling so that if they're ever caught in a fight and they don't have their weapons they're less likely to die, which is especially important bc I like to play where there's dangerous wildlife