A window manager (like twm, wmaker, or fvwm95) is an application like any other. The normal procedure should work.
Well, almost. At most one window manager can be running on a display at any time. If you are already running a local window manager, you cannot start the remote one (it will complain and exit). You have to kill (or simply quit) the local one first.
Unfortunately, many X session scripts end with an
exec window-manager-of-choice
and this means that when the (local) window manager exits, your session exits, and the X system (xdm or xinit) considers your session over and effectively logs you out.
You have to jump through a few extra hoops, but it can be done and it's not too difficult. Just play with your session script (normally ~/.xsession or ~/.xinitrc) to get it as you want it.
Beware that a window manager often provides ways to run new programs, and that these will run on the local machine. That is, local to where the window manager runs. If you run a remote window manager, it will spawn remote applications, and this may not be what you want. Of course, they still display on the display that is local to you.