You might want to look at this stuff here:
http://online.ts2009.com/mediaWiki/index.php/KIND_Enginesound
as this will assist you in creating a new engine sound which you can then assign to your locomotive.
I recommend looking at an existing one, clone it and use its format for your own. There are also considerations to take into account for sound file playback formats. Again using Audacity, view the setup for an existing engine sound and duplicate its format, otherwise, there will be errors.