This paper discusses the problem of applying sigmoidal neural networks to identification of nonlinear dynamical systems. When using sigmoidal neural networks directly as nonlinear models, one often meets problems such as model parameters lack of physical meaning, sensitivity to noise in model training. In this paper, we introduce an embedded sigmoidal neural network model, in which the neural network is not used directly as a model, but is embedded in a shield such that part of the model parameters become meaningful. Corresponding to the meaningful part and the meaningless part of model parameters, a hierarchical training algorithm consisting of two learning loops is then introduced to train the model. Simulation results show that such a dual loop learning algorithm can solve the noise sensitivity and local minimum problems to some extent.