There is capacitance across each winding (primary and secondary) and there is capacitance from primary-to-secondary. Both of these capacitances can be important, depending on the application. For example, the primary-to-secondary capacitance can be the driver for switching power supply common-mode noise.
To measure primary-to-secondary capacitance a capacitance meter can be used. To measure the combined effect of capacitance across the windings there are several techniques. A simple one is to shock excite the winding by connecting and disconnecting a source of current (a small battery will do). Using an oscilloscope observe the frequency at which the transformer voltage rings. Knowing the primary inductance and the frequency calculate the capacitance.
