How I "trained" to drink whiskey neat years and years ago:
Bought a bottle of Johnnie Walker Black
1st night: 2oz + 4oz water
2nd night: 2oz + 3oz water
3rd night: 2oz + 2oz water
4th night: 2oz + 1oz water
5th night: 2oz + 0.5oz water
6th night: 2oz + splash of water
7th night: 2oz neat
You now have a gradually conditioned brain/mouth that no longer overreacts to high proof liquor.
I never "trained" myself to drink whiskey neat. I started drinking whiskey mixed with soft drinks. After a few years I moved to drinking whiskey on the rocks. One day I bought an ultra-aged bourbon, and it fell apart with ice. I sipped it neat, and was turned onto a whole different realm of flavors. Today I drink most of my bourbon neat, and now my new journey is exploring barrel proof expression that are non-chill filtered. Whiskey is great... Take your time and enjoy it. Explore it.