How to avoid the loot from the dragon falling into the lava

Step 1: Make sure the dragon isn't around.

Step 2: Build a platform made from Earth, Stone, or whatever else you have handy that will catch items when they fall. (Note: items will fall right through Log Bridges.) This is easiest if you take control of a dwarf personally and build the platform yourself, since you can place items rapidly. Ideally, you're going to coat the entire lava area with your platform, but you'll probably hit at least one dragon before you finish. The platform should be a few spaces above the lava, because things next to lava burn.

Step 3: Find a dragon. Induce death while it's still over your platform. If the dragon is impolite enough to fly back over the lava, back off by restricting your dwarves to your shelters, or putting a rally point further back, or some such.

As a bonus, Step 2 makes it trivial to retrieve dragon eggs. Dragons drop excellent items (gold coins, armor), but it's only about a half-dozen items total, for a fair amount of trouble. They are farm-able if you're willing to set up at least two level-3 Tesla towers, but that's fairly expensive.