I saw in DF that the carpenter may craft training weapons for the dwarf sparring. Still, I cant find any training warhammer... Should they train with regular weapons? Are there any training warhammers?
As of 31.X, training weapons are not needed for training your military -- regular hammers will be fine (and non-deadly!)
The reason the training weapons exist at all is because in 28d, "sparring" consisted of the dwarves in question actually fighting with each other -- and if they used regular weapons, their sparring partners would develop regular injuries. The training weapons were a less-deadly alternative, though even then there were too many instances of dwarves crippling their squadmates.
However, sparring in .31 is decidedly different -- the dwarves "tap" the target instead of actually attacking. It's completely non-lethal training, even with adamantine edged weapons. So there is no training warhammer, nor is their a real need for them anymore.
On the other hand, if you just want a training warhammer for flavor or its own sake, crossbows raise the "hammer" skill and can be made of wood, so they're the next best thing.