Ah I haven't really done anything like that due to me working in a very small company. Guess I'll have to give this job a miss then.
Bullshit is your friend. You can always use the line that you current employer was small and did not have a formal CPD programme, but I kept my skill current, and expanded my skills by doing X, Y and Z.
Training Courses are the obvious thing, but also something as simple as reading relevant books, even media articles can be spun as being relevant. The words mentored and shadows are great - it really means chatting over coffee in the kitchen with someone more experienced. Spin the small company experience as being relevant - within a small company you have less rigid demarcation of jobs, so you gained wider experiences than a similar employee at a larger company would - you can dovetail into being self-motivated and capable of working independently.
It is an HR box tick exercise, but you can spin it to sell yourself. The lack of a CPD plan is a blackmark again your employer, not so much you - if you have big enough balls, you could even spin it as a reason for leaving...