I have also seen my marksdwarves using the archery targets while set to train. I might have seen a dwarf use them once when not set to train, but I'm not sure. I think that it's probably NOT a good thing for them to be doing individual combat drills, since they are most likely levelling up their Hammerdwarf skill rather than Marksdwarf. However, I could be wrong.
Usually giving my marksdwarves quivers makes them more inclined to use the targets. While I have seen them do it without quivers, it seems to be much rarer. (Note that this is not backed up by any rigorous study of the matter.) Make sure you have enough ammo; when they do use the targets, they burn through it pretty fast. Also, what Quietust said:
Make sure your marksdwarves are capable of picking up practice ammo - if their quivers are filled with combat-only ammo, they will not practice. If you make bone bolts, they should generally have room, but if you make practice bolts out of wood or metal, it won't work very well.
Some people have reported success by designating the archery range as an equipment storage area. Again, I don't think this has ever been confirmed to work, but it might be worth trying.
Lastly, I find that my marksdwarves are the slowest squad to level up without combat, so it is especially important to follow good training practices (i.e. use small squads to increase Teacher skill gain, have them carry backpacks and waterskins, minimize gain in worthless skills, etc). They will occasionally use the archery range, and at least some of the time in the barracks will be devoted to crossbow demonstrations, which also aid in Marksdwarf skill.