One of the most important insights a person gains from martial arts training is to understand one's limits--which relates directly to the bias of overconfidence.

Good point. Fortunately, I think the OB and LW blogs have helped me understand my limits, in the sense that it showed me many errors-in-rationality in the ways I used to (and unfortunately, currently do still) think.

If martial arts training enables a person to project an honestly greater degree of self confidence, then the signaling benefit alone may merit the effort. Does rationality training confer analogous signaling benefits?

It probably does. If you go to cocktail parties tossing around terms like "Bayesian updating with Occam priors" or "Epistemic rationality" and sound like you really know what you're talking about, then you'll probably exude this signal of being a fairly smart person.

But you have to ask yourself if your goal is to sound smart, or to actually be smart.