In recent years, the boost in the development of hardware and software resources for building virtual reality environments has fuelled the development of tools to support training in different disciplines. The purpose of this work is to discuss a complete methodology and the supporting algorithms to develop a virtual reality environment to train the use of a sensorized upper-limb prosthesis targeted at amputees. The environment is based on the definition of a digital twin of a virtual prosthesis, able to communicate with the sensors worn by the user and reproduce its dynamic behaviour and the interaction with virtual objects. Several training tasks are developed according to standards, including the Southampton Hand Assessment Procedure, and the usability of the entire system is evaluated, too.