Depends where you are flying from. Doing the training in real IMC is no problem (it's an advantage, really - much better than simulated with foggles) but you need to get back home afterwards. There's no IAP where I fly from, so we need the normal wx to get back down. If you have an instructor with an IR and you have some kind of instrument approach at your home airfield then you can train in most weather conditions.
edit: Thought of one more thing - Ice may be an issue if you're training in the UK midwinter.