Since I've been designated the honorary Fun Police I feel like I should point out that danger rooms were built for dwarves, not kobolds who are less than half their size and maybe five times as flimsy. The last thing we need is to lose proper function of another appendage or break some important abdominal bone. We're already legendary dodgers and knife users (I think), so to gain armor skills we'd need to sit in there for a while and get the shit kicked out of us by wooden spears. That being said, we're going right into a fight for our lives right after, so being already ground to a pulp would be out of our favor. So, that leaves us with actually learning gladitorial combat, which would be much preferable because we have not won a SINGLE fight if I remember correctly. Try to mime out asking the champion to teach you how to counter basic wrestling techniques, so you don't get your other arm broken by whatever Hulk Hogan level gladitorial wrestlers we come up against don't break every other joint in our body. After that, sparring against an actual target would probably be much more useful than becoming an expert at countering a stationary object. Also, we should probably make our own splint out of extra wooden training weapons and threads from our cloths.
Now, after all of that I've either set up the story so that we get our teeth knocked out by wooden spears or our back suplexed into tiny splinters by Dwarf Hogan.