Is there a FitalyLetris on Windows - oh wait, he's talking about his Clié now. That should work.
I described the exercises I worked up, at http://fitaly.com/board/palmforum/posts/152.html
I still haven't identified a suitable (free?) audio training program to use them in, but you could just record your own voice on Tablet.
It turns out that a north-ish slide stroke defined on "< control >" as the originating key can switch on Ctrl and Shift and leave them on for the next key - most of my north/northeast/east slides are identical. (Of course the direction shouldn't matter.) So I think Caps can stay where it is. I wonder if I should leave that one set.