Was attacked by one of these today. Two of my marksdwarves brought it down with 4 iron bolts. Perhaps they were lucky, but they were both legendary marksdwarves with exceptional quality crossbows. I found it rather anticlimactic. I wonder if it is easier to hit their internal organs because of their great size (the first bolt punctured a lung and winded it).
Even though Mega-beasts are strong it's not like they have steel hides. Pump anything full of bolts (Mass produced bone crossbows put into weapon traps are cheap and mildly effective for bulking up auxiliary positions like a bolt hole for wood cutters in case of a siege) and its toast.