Nearly everyone will want to train their race’s Frigate skill up to at least Level III, as this both improves the effectiveness of their frigate’s ship bonuses and also unlocks additional classes of ships for training.
If the path you’ve chosen involves flying frigates a lot, you’ll probably want to go a bit further and train the skill to Level IV to further improve your ship bonuses.
If the path you’ve chosen involves upgrading to higher classes of ships, you’ll probably want to start training towards cruisers.