You should go to the firing range if you just want to practice. You will get unlimited ammo on all the guns you have already unlocked. You will get to practice CQC to your hearts content because the practice VR soliders don't even fight back.
Playboy magazine I don't think you are supposed to pick back up. It's an expendible item. If you wanted look at the girls you need to hold L1+R1, Circle, Then Triangle. But then those exact instructions are given to you when you hold down L2.
Also FYI, The instruction manual that comes with the game is actually a very cool read too. It has comic book art in it and other goodies.
I have to admit--I spent a good 2 minutes trying to look at the hot chicks in "teh video game" and I failed. I just couldnt figure it out.