Personally I have no problem with danger rooms or coin tossers. I used that once and the skill gains were great, but stat gains not so much. Some DR trained soldiers still got killed too. Now I struggle to make normal training work and, for the most part, fail at it. After about 3 years I can get to weapon skill and shield user 10, but few soldiers live that long. I even had 8 squads of two recruits train for a year with almost no gains whatsoever.
If you want to "fix" DRs anyway, it would be enough to limit experience gains from all types of traps, be they weapon or upright spear.
As a side note, I once had a single Unicorn with a ripper (dagger) and 4 shields train up to 18 Knife User, 20 Fighter, 12 Shield User and 1 Armour User in a short fight with a Steel Ranger after 20+ pages of combat reports. He was in a caste with 240 skill rate for Dagger and Fighter, but he still made it from recruit to hero in record time.
A few problems with normal training are outlined here:
http://www.bay12games.com/dwarves/mantisbt/view.php?id=3855#c23741 I typically have very poor learning rates for dodge and armour user. I even tried squads of 2 without shields and it still didn't work too good.
As for the system where training one skill helps train another, you misunderstand. Currently we have skills and stats. Similar skills train similar stats, making training more skills just a bit easier. A while ago there was a proposal for a lot more complex system.
* On the first level you have stats, same as now. These slowly increase with abilities.
* On the second level you have abilities, such as smoothing, carving, cutting and so on. These train when a skill is used.
* Finally you have skills that are weighted averages of abilities. Stone-crafting uses some of the same abilities that bone-carving. While you couldn't train a skill directly, using it would increase it's base abilities and therefore the skill itself. Also, a legendary stonecrafter would have mastered some of the skills needed for bonecarving and vice-versa, giving us skill synergies. There was even an idea that goes even further, to skip skills and directly use weighted abilities for each reaction and job.
While this system is interesting, is would be difficult to decide what abilities there should be and how to choose their weights to determine skill level for a job, such as "make rock throne".