You can always play in offline mode and hone your melee skills vs. the computer players there. While they wont mimic the true skills of people you meet online, it's better than nothing at all.
Additionally, learn the different speeds, ranges and hit timing of each weapon. You can swing the scout bat much faster than the heavy can punch, for example. The demoman's "Eyelander" sword has a much larger range than most weapons and can hit from what feels like a non-melee distance, compared to most other classes melee that requires you to be much closer. Also, each weapon has a slightly different "delay" between when you click and when the swing actually has the window to connect. It's minor, but worth getting a feel for.
Lastly, learn your limits. It's not wise to melee certain classes if avoidable. Pyros and heavies are dangerous targets to melee, and scouts tend to be too fast to hit reliably in melee range.
Yukon was intentionally designed to be harder for Engineers:
This abandoned mountaintop coalmine was repurposed by shadowy operatives into a top secret surveillance outpost—one which also, so nobody gets wise, insidiously continues to mine coal. There is also a log hanging in the center of the map—possibly as an example to other logs. Logs that said too much.
Five control points promise a lot of momentum swings in this compact outdoor map, with plenty of tunnels and rocky outcroppings. Plenty of alternate routes ensure that if you can’t get past a well-placed engineer through one tunnel, you might be able to sneak up behind them through another.
CP_Yukon is a community map from the brilliant dual-powered brain trust of Patrick “MangyCarface” Mulholland and Joachim “Acegikmo” Holmér.
-- Classless Update, Day 3
Point 1
Point 1 is extremely poor for defending as Engineer.
If you're building full size sentries, it may be better to build them down in the pit, although that means a Spy can back-cap the point.
Point 2
Point 2 has a few defense spots. One of the best for actually covering the point is at your team's end of the hall when you first come out the door from point 1. You had better have the Wrangler, though, or a sniper at the far end of the can easily take you out.
Another point is past point 2, on the middle route. You can place a sentry on the walkway up. The problem is that, if you place is close enough to the point to be able to see it, it's far enough from the point 3 area for Demomen to be able to take it out.
Point 3
Thanks to point 3 being moved, your best bet is near the point itself, preferably where the fence covers it, so it can't be shot by Snipers (or at least where you can't be shot by Snipers). Your biggest problem here is people sneaking up behind you. You could place it at the very end of the point 3 bridge, facing the point to help counteract that.
Point 4
Building slightly to the enemy's side of point 4 works pretty well, as it covers both entrances to the point 4 area.
Another Alternative
Due to the difficultly in guarding points with a level 3 gun on this map, Mini-sentries work fairly well on it, at least when combined with the Frontier Justice.
Best Answer
As of the Gunmettle Update, it is now possible to pick up weapons:
This does mean that only weapons supported by your class can be picked up. No flamethrower-wielding scouts nor Rocket jumping Engineers will be seen.
Note that you won't 'own' the weapon, you will use it until you die (or swap for another weapon). You will respawn with your normal loadout-equipped weapon.
Press the 'action key' (normally bound to H) whilst looking at a discarded weapon to equip it.