Well, Ford is correct, you do NOT need to "retrain" new sensors to your car.. They do "auto train" or whatever you want to call it. All three of our Fords have the TPMS system (all, including our F150 use the valve stem style), and we have seperate winter rims and tires for all (we live in a heavy snow belt area, winter tires are a must). We bought our winter rim/sensor combo from the dealer, but, I assure you, in the last three seasons, I've switched over my own rims each season in my garage and the dash display resets within 500m of driving (less than a minute). No visit to the dealer needed, ever. I don't know where this rumor started about having to "train" new sensors, etc. I will say that my neighbor has a couple of Honda's and a Dodge truck, and he says that he has to have the sensors trained, so, they must use a different system. I know his CRV uses the "band style" sensors which are expensive and a pain to install.
Also, another thing to note, since some have brought it up here, the trick of just putting a summer rim/tire in the back of your car, etc. To turn out the warning in your dash, that will only work if you keep the wheel moving once and a while, since, the sensors will go to "sleep" after so many minutes of not moving (preserves battery life). Just saying.
2012 Focus SEL 5 door 303a w/Lux pkg in KonaBlue
2012 Escape Limited w/park assist
2010 F150 Supercrew XTR 5.4 4x4
2008 Kawasaki Concours 14 (street)
2008 Kawasaki ZX10R (track only)