It's a fact that only training improves your skills. So, applying for a new job is only one of many skills you can train. While doing so you can learn many interesting things, just as you stated.
While applying for a new job might feel like cheating your old job, don't missunderstand: It's your life and your company does usually not depend on you at all; they will just find a replacement, so you should not have any sentiment, either. It's the same for the position you apply for: Don't think that you are an evil guy, because they gave you the green light and you didn't agree in the end even though you were the one applying. Those people are searching for people. If they don't get you, they will just take someone else and they know fully well that just because someone applies, that person does not need to be the right fit, even after signing the contract. Just a few weeks ago, my company kicked someone out after three months, because they just did not fit in. Life is harsh...
On the other hand, you should think of it in a more positive way: Maybe, because you constantly look for vacancies, you will find a poosition which sounds awesome to you. Something you always dreamed to do but could not because of certain factors. Then you will also have the skill to negotiate, get the position and optimal wages! Isn't that awesome?
As a side-note: Never tell your boss about you searching for another job. It will destroy your relationship and possible ways to get interesting projects or bonuses.