I always try to trap those for use against sieges, and such.

Cavern - gate - door - corridor - door - gate - Fortress

Once the beast gets into the corridor you lock both doors and close the gates. The doors are there to slow down the beast a bit so the gates have time to close.

I think equipping your dwarves with shields of fire safe materials such as steel should help them. Not sure about the effects of armor with respect to fire. You could also fight fire with a firing squad I suppose. Do tell us how it went down though!