I believe that there are sections about this in two of Stephen LaBerge's books on Lucid Dreaming. I remember reading accounts of how dreaming had helped individuals reach higher levels of performance.
If I recall correctly, REM sleep is necessary for the formation of long-term memory. It's uncanny how when something goes into procedural memory through repetition, you often dream of doing it over and over again in your sleep.
I don't see any reason why practicing something in your dreams wouldn't help with acquiring various levels of skill. The only thing I would worry about in that regard is that the kind of feedback you receive will not be coming from the world but from your internal model of the world.
For golf, for instance, when you golf in the real world, you adapt your behavior based on real conditions, and so improvement in the real world is possible. But in dreams, there is no reality, no gravity, wind conditions, etc., to "respond" to your actions, so while you may learn how to golf better with dreams, you may not be learning how to golf better in reality... if you catch my meaning.
I've tried reading books in dreams. What a nightmare. The text changes.... it's like trying to walk uphill on a world with increased gravity while it's raining and there is a mudslide coming down from above.