1) You should train yourself at writing

2) You should train yourself on writing


Which preposition I should use for this sentence OR both of them could be used in this context?


Neither. The correct preposition should be "in", as evidenced by the OALD:

training (in something/in doing something)
Few candidates had received any training in management.

Even though this is the page on the noun, you can see that in is used whenever you're talking about the subject matter in which you receive training.

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