Except 4 fundamentals (climb, desc, turns and S&L), I don't do any other maneuvers in IMC with my students. Too dangerous. Besides, what's the purpose of practicing stalls, steep turns, etc in IMC? An IP should always stick to std rate turns anyway.
Around NYC area you never get a block altitude, but a little upstate controlers are generally ok if you tell them that you'll do airwork around a VOR.
As far as filing, you file to a VOR (fix) and then let the controller know what you want to do.