No training required or even necessary. The shrub produces the twisted, gnarly stems all on its own. Growth is listed as "moderate" so it depends on how large your shrubs are now before they may be of adequate size for you to harvest. It can get to around 10' but even reaching that height may not provide optimum time for the stems to thicken and develop enough for your purpose.

It suckers and can form dense thickets. And it produces some serious thorns that can result in sepsis if they get you, so prune carefully :-))

Here is Prunus spinosa (sp.) growing in its natural habitat (early April 2014). It's a very common hedging plant here and makes a cruelly spiky stock proof barrier. As Gardengal48 said it suckers a lot. You will get several years of sloes before it's big enough to harvest sticks so you might as well make some gin in the meantime ;-)

And here are those thorns. (February 2014)

I saw this when I went to Britain (I never see it around here). To an extent it looks like a sort of deciduous firethorn (Pyracantha) more than it looks like a plum. It seems you could be waiting some time to get stems of much size.