I live in Kentucky and I am looking at a training class in Illinois and passing through Indiana.  I know I need a concealed carry permit to travel through Indiana if I'm going to carry my pistol.  If I take this course I will also be traveling with an SBR AR, I have my form 5320 and SBR approval and all of that but I'm just concerned about driving through these states, especially Illinois to get there.  Can I even travel to Illinois with these guns?  What else should I know? Mag restrictions? etc.

If your 5320.20 to IL was approved, then it should be legal for you to take it there. Feds tend not to approve transfers or transport requests which would be illegal.

As for interstate travel, federal "safe harbor" under GOPA86 allows you to travel with your legal items interstate, provided they're unloaded and locked in the trunk or other area or container not readily accessible from the passenger compartment.

Can I put multiple locations and dates on one 5320, for example I'm looking at taking 3 classes this year or do I need to to a 5320 for each trip.

Multiple locations, even different states, are fine. It's good for at most one year, so July 1 2020 through June 30 2021, for instance.

I don't think I can fit 3-4 addresses in the small "transporting to" box, would you suggest just using states and not exact addresses?  I am taking 3-4 training courses this year.

Also, I would need to do one for whatever hotel I'm staying in as well?  So it's 2 per location, 1 range and 1 for hotel.

I'd use a smaller font and fit the full address of each, if they'd physically fit in the box, and you don't need to list every single place you'll visit, just the main object of your travel/transportation.

In years past, I would just fill out my one main destination and put a line below that reading "and other locations within the state, during the year" - but I don't know if they'll still approve them that way. I was a SOT for many years, so it's been about 20 years since I last had to fill out anything for interstate transport, and haven't done any interstate travel with my goodies since giving up the FFL/SOT a few years back.

You can submit multiple applications to transport with different destinations on them - maybe do one for the main location in each state, and don't sweat your movements within the destination state and different places you stay while there, presuming you can't just fit the full addresses on one form by using a smaller font.

Last question is Mags, i would assume if the locality I'm traveling to has magazine restrictions, I will have to leave my 30round mags at home

In order to follow the law while at your destination, you'd have to leave any mags which didn't conform to local law somewhere outside that jurisdiction.