How old are they when you start trying to sleep train?
From the first week. The biggest thing to concentrate on right now is feeding. They're going to sleep most of the time anyway. Try to focus on when you feed, making sure they get a full feeding. This may require trying to keep them awake if they drift off after 10 minutes or so. Feedings will likely take about 30 minutes or so at this age. Eventually they will get more efficient. You can keep them awake by tapping their feet or unzipping their onesie and rubbing their sternum. You won't be 100% successful all the time, but just keep working at it.
What this does is it allows them to go longer periods between when they feel hungry again. Otherwise, they'll slip into a habit called snack feeding, where they get just enough to satiate them for the moment, but feel hungry again fairly soon.
You'll begin to notice that if they get a full feeding at every feeding, they'll begin to slip into a routine of feeding every 2.5 to 3 hours all by themselves.
Here's the wrinkle - sometimes babies just get hungry earlier than that, especially when going through a growth spurt. So you've got to begin studying your babies' cues. Most people just knee-jerk - If the baby is crying, shove a boob in the mouth or change it. You'll learn as the baby slips into a cycle which cries are the hungry ones and which are just the "I'm uncomfortable" ones. There's no way to learn this except to study your baby and get to knows its cues. That said, if the baby is hungry, even if it's been getting full feedings, feed it again. The schedule is there to establish patterns, not to deprive your child if its really hungry. Just make sure that it takes a full feeding, and it will slip back into the routine on its own.
If it has been three hours since the beginning of the last feeding, wake them up. This will be hard, because you're going to treasure the quiet moments. But it's necessary to establish the routine. This will also help to keep the baby full and happy. You'll find that after the initial minute or two of fussiness of being woken, the baby will indeed be hungry.
Last thing I can think of is that you should allow the baby to start sleeping for longer periods at night (after the late feeding around 10 or 11pm). A breast fed baby shouldn't go more than 5 hours between feedings though, so you should wake it up if it sleeps that long. You may risk under-nourishing the baby otherwise.
That should get your started. If you're interested in more later, either get the book or just ask.
EDIT: Your lactation consultant and/or the doctor will likely just tell you to feed on demand. Most people do this, because it doesn't take any work to feed the baby whenever it cries. This sacrifices long-term gain for short-term pacification. Your baby will eat the same amount either way if you do it properly and regain its birth-weight and beyond. It just takes more work on your part the first few weeks. It's actually quite liberating to have your baby on a schedule though, because you begin to recognize its cries and cues and you feel very confident that you know what you're doing - which is priceless as a first-time parent.