Oils are one way to do it, but I think a better way is to find three or four perfumes with a particular note and try to distinguish the note. For example, if you want to smell iris, try Prada's Infusion, Dior Homme, and 28 La Pausa. People here can recommend exemplary fragrances for specific notes.
Also, it takes time, so don't get too frustrated if you can't recognize everything at first. One day you'll just be smelling and find you notice the vetiver in The Body Shop White Musk for Men and be very pleased with yourself.
And just about musk: sometimes it's not really a smell, it's more of a sensation. Sort of like salt in food. So don't worry if you don't get that one right away.