Idling, inactive dwarves will go to archery practice, and if you set it up this way they will burn through practice bolts rather quickly. Don't set up a barracks unless you want them to go to individual combat training. However, if they are active, make sure you have a barracks set up or you will get a lot of "soldier (no activity)" happening.
There are a lot of complaints/questions about this, I think most people who are using archery targets are leaving their marksdwarf squads inactive to get the most training. If you have problems with your marksdwarves not picking up ammo, try setting your ammo stockpile to zero bins, I've heard this helps.
If they have a full supply of ammo (fast way to check is military screen under ammuntion, and you can see exactly which stacks of ammo your sqaud has) and they are not training ever, even if you let that game run for a couple months, I don't know what the problem is.
Caging siegers and pitting them into a shooting gallery with armor on is a far better way to skill up your marksdwarves. Also, order your marksdwarves to kill any wildlife on your map. Check every few minutes to see if new victims have roamed onto your embark square. Shots taken in combat give substantially more XP (2x or 3x ??) than training.