@Rick_SAS wrote a blog about it just a couple of days ago.
I would use proc surveyselect .........
proc freq data=sashelp.class noprint;
table name/out=key;
run;
data _train _test;
set key;
if rand('bern',0.7) then output _train;
else output _test;
run;
proc sql;
create table train as
select * from sashelp.class where name in (select name from _train);
create table test as
select * from sashelp.class where name in (select name from _test);
quit;
Leave one out CV would be like something: (using KEY table above + CALL EXECUTE the following code )
proc sql;
create table train as
select * from sashelp.class where name = 'xxxxxxxx'
create table test as
select * from sashelp.class where name not = 'xxxxxxxx';
quit;