The short answer, both.
Each method absent of the other produces limited benefits. Quality training experiences accelerate your knowledge. They provide you with new information gained from the instructor’s and other students’ experiences shared during the training event. This new information comes over a very short time span. Training alone soon fades if the information is not put to practical use right away.
Self-taught skills come from the actions you take to retain what you have learned. Self-taught skills also come from what you gain from your own experiences or what you learned by searching the internet and experimenting with other people’s suggestions. Self-taught skills are acquired slowly through hard work, persist action, driven by a natural curiosity and a thirst for knowledge. The limitation to self-taught skill building is “you don’t know what you don’t know”, potentially leaving important gaps in your skills.
For many, learning on your own is an enjoyable experience. The best approach to becoming a better CAD user is to continuously teach yourself and occasionally attend training that is relevant to your immediate objectives.