On the military screen when I create to squads I fill the first one. When I fill the second one there doesn't seem to be any indication that the dwarf being added to the second squad is already in a squad. Without trying to remember all of their names how can I know which dwarf is already in a squad?
When a dwarf in in a squad, when he is highlighted in the add to squad screen, his current squad will be listed in the top bar (circled in red).
See below, Kel (the Expedition Leader) is in a squad already (the Blockaded Hills).
Rith(the Miner), is not currently in a squad (notice the area circled in rad is empty).
Confirmed for Vanilla 34.11
There are two possibilities that you can employ:
Give dwarves in different squads different nicknames (worse) or different custom professions (better), respective to their squads. The distinction between the both is that Dwarf Therapist allows for mass assignment of custom profession names. Doing the same for nicknames or, worser still, on DF, is not possible, as you would have to set either one of them one by one.
With DFHack (namely the search plugin) you can search for specific names, hence making the job easier.
DFHack r3 has a command called tweak military-color-assigned that color-codes assigned dwarves.