I doubt they would need to. Pretty much they are born extremely tough and athletic. They would be like those annoying people who are just naturally faster and stronger and better-looking than you, and never have to get off the couch to train or do anything special.
Here's what Tolkien says about Legolas:
"He was tall as a young tree, lithe, immensely strong, able swiftly to draw a great war-bow and shoot down a Nazgul, endowed with the tremendous vitality of Elvish bodies, so hard and resistant to hurt that he went only in light shoes over rock or through snow, the most tireless of all the Fellowship".