Go to City of Haze and use the first warp to reach the second warp. Drop down and keep moving left through about two rooms until you reach a room full of zombies. Continue to use your subweapon there until the zombies stop coming back or you run out of MP.

When this happens, go into the room to your left. There should be two lamps and a chandelier. You can use these to get your MP back once you run out.

Once you've broken all the lights, go back into the room with the zombies and then back into the room with the lights to get more hearts. Continue doing this until MP is full. Then, continue to kill zombies.

You may repeat this process as many times as you like or as many times needed for the mastery of your specific subweapon. Since zombies only have eight HP and since there are many lights near by, this is the most convenient spot for mastering subweapons.