Yes, in general it would be best to train on the "full size" caliber of your choice. That is assuming one has not developed a flinch or anything like that from the recoil of trying to shoot too much gun for them to handle. Training for things like recoil management and getting back on target for follow-up shots can't really be replicated with 22 lr. If you can afford the ammo, but that's the problem.
That said, there are many benefits to training with 22 lr as well. Like Heavies said, 22 lr at ranges of even 100 yards help with marksmanship skills as the effects of wind, bullet drop, etc are seemingly magnified. 22 lr, especially in handguns can really help you see things like hitches in your trigger manipulation/press.
Shooting is a perishable skill and you need to practice to keep sharp. Whatever it takes to help keep your skills sharp, whether it be shooting 9 mm or 22 lr, I believe it all helps.