We assume that you're training for your next level during the course of the current level you're in. We try to roleplay that.
So if I know that I'm going to picking up Craft (basketweaving) at 3rd level, my barbarian will spend 2nd level looking at wicker and discussing various weaving techniques with the local craftsfolk.
I note that the 3.5 DMG has an optional rule about training, but I forget on what page.
I generally assume that training goes on behind the scenes, if you're talking about levels in base classes. If you want to take a prestige class, there might be some sort of explicit roleplaying component, though.