From your profile page, click on the stop watch icon. It will then display the activity, duration and distance fields. Fill in your relevant training session details.
Don't forget to tag what challenge you are training towards. Click the tag and select all challenges from the drop down menu that you want to include in your post that you are currently training for.
You must already be participating in a challenge to tag your training to it. To learn how to participate in a challenge, read 'How do I sign up for a challenge'.