Magnetic shape memory (MSM) alloys give recoverable strain when subjected to an applied magnetic field. The strains obtained from MSM materials (up to 10%) are much larger than those currently possible in magnetostrictive materials (less than or equal to 0.2%), and are comparable to those obtainable from conventional shape memory materials. In addition to alloy design and manufacture, a key metallurgical challenge with such alloys is training, which refers to the thermomechanical and magnetic treatments necessary to achieve optimum performance. In this paper, we briefly describe martensitic transformations and how they are related to the conventional and magnetic shape memory effects, as well as training approaches for conventional and magnetic shape memory alloys. We then describe an experimental apparatus and an experimental program to optimize training schedules.