As there are different breeds suitable to each Prix day, how you train them will vary, unless you're not worried about reaching 100 BLUP, in which case, just train them like any skiller.

The key thing will be to have a horse with top GP and then maximize the skills, so you'll want them to be born with A. tears, boarded in an EC with 60e missions (complete a mission each ageing from 2-25 years, and then also used 20 PoCs to get a few extra lessons in), a Water of Youth or Sisyphus Stone applied, and use as many skill bonuses as possible.