Confirmed. They train at Ciudad del Fútbol Español (offices and grounds owned by the Spanish Federation) in Las Rozas. Their next training will be held on Sunday at 11:30 am (data taken from http://www.realmadrid.com ).

The address of this Ciudad del Fútbol is:

c/Ramón y Cajal s/n
28230 Las Rozas (Madrid)

The closest train station is Pinar de las Rozas (the next to Las Rozas itself going from Madrid), but it is not very near the grounds. For those who knows the area, Ciudad del Fútbol is located besides the M-50, at its end, near some outlets like Factory, Las Rozas Village, etc.

I suggest the OP to contact Real Madrid through their Website, asking them about the best mean of transport to attend one of their trainings.