If, for example, my homepage keyword is "online dog training", and all the domains with that keyword are taken, it will be still helpful (in order to get ranking fot that keyword) take a domain adding a word? e.g.: online-dog-training-advices I've seen that for the keyword "farmville secrets review" at 1# in Google there is a site with very few backlinks, but with the domain name the same as the keyword.
Having the domain name as the keyword phrase is a good start, but it doesn't *guarantee* you top rankings (it will help, though)- your site will still need unique content and decent design to stay on the first page. If you are trying to drive traffic, you will be better off building backlinks that have anchor text containing the keyword phrases you are targeting, instead of winding up with a feeder site for every keyword phrase you are trying to rank for.
I think If you take 2 websites about the same niche/keyword and assuming both sites are doing similar seo effort, excluding other factors like domain age, TLD etc... the website/domain with the keyword on the name will rank better than the one without it.
Try to use those keywords combined with the "-" character, e.g.: onlinedog-training.com, this domain name is available. If you don't like anyone available you can try to use a ".co" domain.