I have heard from many sources that this is true, although I haven't tried it enough to testify one way or another. The theory goes that you are accessing things that your subconscious remembers but your conscious doesn't, so instead of learning, you're really transferring access from sub-conscious to conscious. As for how you get better at physical things like martial arts and sports, your muscles twitch during REM, and those twitches correspond to your dreams. Thus, you can build muscle memory in dreams.

I don't think the sub-conscious/conscious part has been proven, but the muscle part has been. Stephen LaBerge did experiments where volunteers moved their eyes in a set pattern in a dream when they became lucid, and these were observed to be the correct sequences. but it sounds more then plausible and because I am convinced that it is possible to learn in dreams, so I buy into this theory.