Okay I tried out some controlled science. Sealed the starting seven in a chamber with food, booze and seven pumps. Anyway, pumping iron does indeed work. It's pretty slow. Looking specifically at the "laziness" attribute, a dwarf who started out at very quick to tire, became quick to tire at around about accomplished, and some time after becoming legendary, lost the "quick to tire" trait.
Since I'm not using Therapist at the moment (I eh, don't like it much anyway) I can't provide any harder numbers than that. But it definitely works. On the other hand, it's definitely slow as well. Sparring builds attribute MUCH faster. But I can see that if you're going to have your say marksdawrf squads work the airpumps between sieges, then after a few years they should have developed at least some buffness from it, for me personally I don't think it'd be worthwhile "losing" them as haulers/constructors, but each to their own.
edit: Here are the details of each dwarf's attributes before and after
Before = ~ Granite 31
After = ~ Sandstone 32
Kadol:
Before: She is tough but she is susceptible to disease very slow to heal and extremely quick to tire
After: She is tough but she is susceptible to disease and very slow to heal.
Eshtan
Before: She is very rarely sick but she is slow to heal and weak
After: She is very rarely sick and slow to tire but she is slow to heal and weak
Lorbam
Before: He is mighty and incredibly tough
After: He is unbelievably strong, incredibly tough and very slow to tire
Endok:
Before: He is indefatigable and incredibly tough but he is very slow to heal
After: He is absolutely inexhaustible and incredibly tough but he is very slow to heal
Kol:
Before: She is very slow to tire and rarely sick but she is weak
After: She is absolutely inexhaustible and rarely sick but she is weak
Kikrost:
Before: She is tough but she is very weak and slow to heal
After: She is very slow to tire and tough but she weak and slow to heal
Ducim:
Before: She is incredibly quick to heal but she is susceptible to disease and quite clumsy
After: She is incredibly quick to heal but she is susceptible to disease and quite clumsy
I dunno what happened with Ducim, all the other dwarves showed at least some attribute gain, but not her. Anyone care to speculate why she didn't become at least slow to tire or something? She was a legendary pump operator like the others.