Rock stockpiles will collect the rocks into one area, I tend to make a huge stockpile outside my fortress for this purpose early on. You can also designate a trash area, and mark the rock you want to move to be discarded.
One thing to remember the tag line for the game is "Losing is Fun" It generally takes a lot of fortress attempts to get to the point where you can really build something large or ornate, and even then there are always ways for your poor fortress to come to an untimely end.
