Magma is excellent for powering certain "Magma" named workshops as well as working into your fortress defenses.

What I do to tap into it is to create a pipe at the same z level as the top of the magma. To break the final wall to fill your pipe you can either gamble the life of one of your miners and just dig through it, or you can channel it out from above. Once magma is flowing into your pipe you can pump it wherever you like.

Anything that touches magma, however, has to be magma proof. There is a list of magma-proof materials on the wiki if you don't want to guess. One fort I was in, I created a pump stack 130 levels high to get magma from the depths all the way to the top of my fort. During sieges I would dump it on the attacking forces. It was good fun. :)

Dig into it. It replaces booze in late game.