After you finish the main Companion quest line, you can ask anyone in the guild to become your follower (companion). Some of them offer training. You can approach any of them and request that they follow you. Then you can purchase training (you need enough gold for one level so if you want to do this at higher levels you need several thousand gold). Simply access their inventory to trade items and take your gold back. If you don’t want them to follow you, just part ways and come back later. Rinse and repeat for five times each level.
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