Seems to me that it's better to break it up into a bunch of little sessions.
No, that is a persistent myth of the game.
There are no points in the game where doing the same thing X times for Y amounts of time/money/whatever is more benefizial than doing it once for X*Y amounts. The only exception is things that are distributed over multiple characters. 5 characters with a unit of 20 men each will have more CS than 1 character with a unit of 100 men. 3 characters doing 4 hours of TO actions each will have more effect than 1 character doing 12 hours of TO actions, etc.
But never will you gain an advantage on a single character by splitting actions up. It's a persistent myth and many players will insist and argue at length about why and how it is true in some cases. The fact of the matter is that it isn't and any evidence to the contrary is due to selective perception and small sample sizes.
What really happens is that whenever you train and don't get an advance, the game nevertheless remembers that you trained. All those "near misses" add up, so those 2 hours simply pushed you over the edge towards a skill gain that you wouldn't have gotten if there hadn't been those "failures" earlier.
