Most puzzle will help you practice checks and captures because they will put some tactical patterns inside you're head that you will naturally begin applying in you're own games. Chess is said to be a game of mainly pattern recognition. If you want to study attacks there is a section in the puzzle menu where you can take personalized puzzles and you could take attacks against a castled king puzzles exclusively to practice if you want.
How can I practise/practice using checks, captures and attacks in my chess games? Are there any puzzles that can help me?