Progressive Die wizard is a very niche product with astounding functionality. Being a niche product, the training, as far as I know, is only available through Instructor-led training. You will need to check the Siemens website for available courses.
I agree with Ryan. You can probably get moving by yourself, but you will be missing some critical aspects of the wizard's workflow. It is extremely powerful, but it is worth the small investment in spending a day or two with someone from Siemens who specializes in the product.
@BuiTu and others,
For those who wants to learn NX Progressive Die Wizard, you can start with a youtube project which is literally best!
To get the most out, you should watch the whole pdw video series.
Here is the link and this one is first video of whole project. So don't forget to watch rest of them. Youtube Channel name is CAD/CAE/CAM Tutorial and it has many other activities such as CAM, simulation, drafting and so on..
Have a nice day.