Assuming you want to capture animals (groundhogs, horses, bears, dreaded Rhesus Macauqes) as opposed to vermin.
Build a cage trap where the animals roam (usually next to an outdoor food pile works well) with build, Traps, cage. You will need a mechanism and a cage. Mechanics skill is used to place the trap.
You should probably designate an animal stockpile (p, a) where the animal will be taken after it's caught.
After this, just wait for the animal to be caught.
Note: the capture live land animal option at the kennels catches vermin not animals.
Hint: placing your cage traps randomly can take too long to capture anything.
One way to increase the chances of an animal walking into your traps is to channel one long, 1-tile wide, dry moat(d,h) and remove all ramps(d,z) except one in the middle of the moat. Then you surround the single ramp with traps.
Once you've captured an animal, even if you're going to butcher it you probably want to get it trained at least a little, to avoid it breaking free on the way to the butcher shop. To train, make sure you have at least one dwarf with 'animal training' labor enabled, then find the animal in the status tab (z) and designate it for training. Butchering is also handled through the same status menu.
The wiki doesn't know, so it's safe to say that that is one of Toady's secrets.
After being sufficiently "successful" at defending against the siege (killing sufficient attackers, waiting them out, or some combination thereof), the attackers will retreat. All of the remaining squads and groups will head for the map edges and leave, typically favoring the edge they entered from. Once the last of the siegers leave, the "SIEGE" tag will go away.
Source: http://df.magmawiki.com/index.php/Siege
However, the 40d page states that if you do nothing, it will take a very long time for the siege to end.
The siege will end after some (LONG) time have passed,
Source: http://df.magmawiki.com/index.php/40d:Siege
Best Answer
Tamed creatures can be trained for work: Hunt and War trainind. I think wiki page mean that hydras cannot be trained for work.
Trainer will not retame creatures with
trainedstate. You can't train wild creature to domesticated state, train will wear out eventually.You can tame child animals, if you succeed in breeding your hydras.