if they want them get them, training bras are really just glorified tshirts, I got my first for Christmas when I was 4 (matching panties set, kinda like underoos) and thought I was IT, then the fad wore off and I didn't wear them again until I needed them. I have always remembered to "pick my battles" will it really matter if they wore training bras early? no, it is just a phase...now if they are wanting to wear the pants with their panites hanging out the top or shorts so short you can see the bottom of their butt that gets a different response ;-)
good luck, I know how hard it is to let them grow up, my 9yo has been asking to shave her legs, I'm not ready and tell her that once she starts she can't stop and for now she is ok with it but she stilll asks frequently and she has darker hair so I know I am going to have to let her before I am ready, course I won't be ready till she is 20 sooo....