Translation:I work out in a gym two or three times a week.
In English, "I am training myself" there is an implication that you are both the trainer and trainee (person being trained) and you are training alone, without anyone's help.
My point is that I do not believe 'mi alleno' carries that implication. You might be training by yourself or with the help of a trainer.
Mi alleno means I am the one receiving (edit: or doing ) the training, not giving the training. Mi alleno lo stesso means I am training the same, or I believe could be I am training myself ( without anyone's help). The former I'm not completely certain about,
Leave me hangin?
@gmcolleti: mmm...I don't think mi alleno means just I am the one receiving the training. In italian, the reflex verb allenarsi just means "train, do exercise, workout (by oneself)" this is all, nothing more. hence, I suppose also "mi sto allenando" includes an implication that you are both the trainer and trainee and training alone without any help like in English:)
It depends on the context....could change its meanings: e.g. "mi sto allenando a nuotare sotto guida dell'allenatore." <----with your trainer. "mi sono allenato tutto il pomeriggio in palestra."<---Maybe you traind alone or not.