You will still need to get TSA and SEEVIS approval. If you are on a J class VISA then you will still need an M1 student VISA or have student entitlement added to your J class.
SEEVIS will want an I-20 form from the Training Provider which must be authorised to sponsor M1 VISA's. In order to get the I-20 you will need to have regsitered with the TSA. In order to have the M1 interview you will need your TSA reciept, I-20 and SEEVIS reciept.
The process takes about 3 months by the time you have waited for reciepts and paper work to be snail mailed to you.
It is all fun and games