How can I train dexteriy for a heavy weapon user?

Sabres are actually the best dex growth weapons. Their negligible amount of blunt doesn't actually affect their XP (If training on enemies with maxed SOL penalty, they give exactly the same dex xp per hit regardless of which katana or sabre you're using).

However, because Dexterity is a weird SOL skill that looks at what your melee attack SOL bonus is, anything that reduces your melee attack will improve your Dex growth, and conversely, anything that raises your melee attack skill will hinder your dex growth.

And since it's a lot easier to hit the 50 point cap on otherwise easy enemies for 6x XP when you're penalizing yourself, this ultimately makes Sabres significantly better than Katanas for Dex growth. As most Sabres have a melee attack penalty, while most katana have a melee attack bonus.

Stronger Opponent Logic (SOL), checks various stats for certain skills to determine their bonus or penalty. If your relevant skill is 25 or more points higher than the enemy's target skill, then you get almost nothing in xp (10% of the base amount). Where as the higher the opponent's relevant skill is, the larger the bonus you'll get.

And it's a pretty extreme difference. just 25 points in your enemy's favor is 3x skill xp.

Now consider that a good large sabre will have -4 melee attack (or -5 for rusted junk, ideal for dedicated training purposes)), while a katana has +4 melee attack. (you get about a 12% bonus for every point the enemy is stronger than you, up to 50 points of different for a total of 600%). Conversely you lose about 3.6% xp for each point you're higher than the enemy, capping at -90% with a 25 or higher difference.

Just to compare to the humble Hungry bandit. With his ~7 melee defense. vs your starting 1 melee attack. If you're using a Katana (+4), your effective melee attack skill is 5 vs his 7 MD (+24% xp bonus), and it's very quickly going to catch up and turn into a penalty since there's only two points between you.

Conversely, a rusted junk foreign sabre (-5) would be -3 MA vs his 7 MD, or a 120% xp bonus. And you're going to keep it for much longer since there's a 10 point gap you've got to make up before you've equaled him. (additionally the sabre's bonus melee defense +7 in this case, normally +8 for non-rusted Junk)) + is going to keep you in the fight much longer than the katana's defense penalty (-4), making your training much more efficient).

(A Horse Chopper or Holed Sabre work as well (they both can reach -5 melee attack at rusted junk quality, though their MD bonus isn't as good as the FS's), since FS's tend to be quite rare and finding a Rusted Junk one, unless you make it yourself can be nearly impossible outside of finding one in an animal nest, hole sabres are a bit rarer but also better if you can get one since it's got +2 MD more than the horse chopper)