Dwarves get unhappy thoughts from being constantly on duty ("... complained of the [long] draft lately."), but they also get unhappy thoughts when they get relieved of duties. This means its a mixed bag on whether to have then constantly active/training, or give them time off, all depending on their preferences, the barracks/quarters conditions, food/drink available, etc.
Myself, I start out with a single squad and have then train 12/12 until my population gets high enough to support more troops. Once I have enough dedicated military for multiple squads I split the time they are active, but still try to only give them one month off (just not at the same time). With a highly decorative barracks, good rooms and food, you could get away with only 1, or no, months off duty and still they stay happy. Alternately, you could set up lots of squads, and have then active/training only 1 or 2 months of the year, and doing their "normal" jobs the rest of the time, with a more plain barracks, and probably get the same results.
How to get them to train/spar? If you have six or fewer dwarves in the squad, in my experience, set the "+*-/: N soldiers minimum" to be the number of dwarves in the squad. Above six, you start wanting to have it one or two lower than the number of dwarves so the rest spar while one or three wander off for long breaks, drinks, naps, etc. Don't forget to set up one month, then copy that training order and paste it to the other months/squads.