Is there an effective way to separate them to begin training them? No, not really. I also would not count on them not being a mated pair if they are male and female and reside in the same cage.
I see no reason that you can't begin to train them, you may just have to be more creative and patient. I would start with target training them in the cage. I would set up a small training table next to their cage so that they can see each other. It is very probable that they will distract each other during your training sessions but it is just one of those things that you work with. I would also work a little more on the step up and step down requests to improve them.
Read this link
viewtopic.php?f=11&t=227 It was actually written to be used with a single bird but you should be able to see what is being done and work with both of them as needed.
If you are patient, consistent, persistent and perhaps a little creative then you can do this.