What happens if an attack takes you from, say, 9 HP right to -1? Do you take a wound then, too? Or do you proceed right to the Unconscious and Dying stage?
Just go to the Unconscious and Dying stage.
Are you envisioning a sort of table that lays this stuff out, that you roll against (like a Rolemaster chart), or is it supposed to be more freeform?
Freeform.
What limits do you have in mind for the ... mechanical power? ... of such wounds? E.g., how strong an effect can a wound have and how do you know when to apply it? Permanent blindness? Nausea for 1dX+Y rounds?
I'm thinking more hindrance than anything permanent, especially for non-criticals. Flavor. Wounds that puss up. Bleeding and maybe some hit point loss. A -2 modifier. Speed reduced. Scars after the wound heals.
Maybe steal the ideas from the "conditions" list, making someone deaf, or staggered, or stunned, or something like that.
Criticals would be a bit more serious. Maybe break an arm or have a body part useless.
Failed Massive Damage saves would count as a critical.
What happens depends on the description of the combat. If a PC comes in low, bent at the waist, almost crouched, with the point of his sword, and his enemy hits him, reducing him to 3 HP, then chances are the PC got hit in the head or shoulders.
Examples...
A dodging character who is hit and reduced to 4- HP may twist his ankle and be at half speed for a time.
A shield-parrying character who is hit and reduced to the "zone" might have his shield struck so hard in an "off" place of its surface that the top of the thing tilts back and breaks his nose. Blood runs down. Character is stunned for one round and maybe has blurry vision for 1d4 rounds CON check vs. the damage isn't made.
Stuff like that.
All critical hits?
Depends on the DM. Personally, I think not. I like giving checks to avoid. Like in the OP, there was a DEX check vs the damage to avoid dropping the weapon, and there was a CON check vs the damage to give the DM an idea to go "hard" or "soft" on the wound.