I agree with Gary, the difference is minimal, and both are "correct", but I would probably use "on" in this context. "On" suggests that the student is learning practical strategies to use. "About" suggests a more theoretical gathering of information. So it can depend on why someone is attending the classes.
If you need to improve your health and want help with this, use "on". If you simply want to be better informed about the subject, use "about".