You need the hammer in your hand for the middle mouse button to destroy things.

The workstation stops things from spawning within a small area around it, but it does nothing for things that spawned elsewhere and walked over because you were making noise. The only thing a workstation might do then is give them something else to attack if they can't get to you. If they're already attacking you, it's too late.

If you want to build something to keep greylings and greydwarves away, put down a campfire, but the dwarves will still throw rocks. Or build walls, or ditches, to keep them away from you.