Hmmm...
I always imagined that to record loco sounds one would have to set up a mike (with one of those duster-looking things to keep it from picking up wind noise on it) near the horn/bell/engine/whatever it was you were trying to get sounds of. Then it would just be a simple matter of blowing the horn or whatever and recording that sound.
@bigfitzy, there is a sound clip of the whistle off of the Nickel Plate 765 at 765.org (go to gallery, then audio)