You can capture them in cage traps and then train them. Embark on a good biome (forest or shrubland). Also if you have elf traders, they sometimes bring them.
Warning: unicorns are actually pretty badass and can seriously fuck up an untrained, poorly armored and armed dwarf (or several of them). If you have unicorns in your embark you should probably also have cage traps around anywhere near civilians are just on general principle and you'll end up with some.
They're not enormously useful despite their formidable dangerousness because you can't actually war train them, which is too bad because they're be great for that. You could mod it in though.