This technique does only work for one weapon(picks), and it's an easy embark option. It assumes a few things too. The first assumption is that you will probably train up no-hopers (peasants or not-required-skill dwarves) from your second or third migrant wave. Getting them going early is always a good thing. The second assumption is that you do know that danger rooms are better than any other training technique, so don't expect them to be nearly that good that quickly.
Take a weapon training dwarf on embark, and bring along at least one copper pick. A reasonable set-up is:
Fighting(1), Dodging(1), Shield-user(1), Armour-user(1), Spear-dwarf(1), Ambusher(1), Teacher(4).
This guy immediately starts mining out your fort and will usually end up with mining 4-5+ by the end of the initial run of mining out rooms/workshops/etc. Even with other miners, he'll skill his major combat skill quickly. Once the inital mining is done then set this guy as your manager. Organisers are good trainers.
As soon as some no-hopers enter your fort (1-3 of them), turn them into miners (make picks if you need more, any metal, and turn off mining for your trainer). Designate any area you can to mine with a preference to soil/sand (it's faster to mine). As soon as these dwarves are about a skill level lower in mining than your weapon trainer, turn off mining for them all, squad them up with the trainer/manager as leader (remove manager labour) with picks, shields, any armour you can (helmets a must) and set the squad to train non-stop in a barracks with them set to one less than squad size to train.... Wait.........
Not-so-instant-but-still-quicker-than-most-ways "Pick-Squad-o'Doom".
Plus your trainer can go and train up some spear-dwarves. Or just retire as a manager eventually. Or turn on hunter in a quiet season or two and train up marksdwarves as well (note: he trains them by taking them on hunting expeditions in a military squad). You can drop the speardwarf thing, but it really is handy to have to two killy weapons on your trainer skills for a long running fort. Hammer or spear really, take your pick.
Yes, it works. Quite well too.
Make a pick based military for your first squads. Then you can branch out to spears or hammers or crossbows. It works fairly well for the training portion, it's up to you and your resources to how well they go in combat.