What version are you using? if you've got 06' I'd suggest the 3ft gauge or 2ft gauge track ends,, which are just two wood 2x4's stuck in the track. They're in the track objects tab. if you've got 04' I think, if they're not built in already, you can just get them off the DLS. I'll get you the kuid. The other solution is just to raise the ground a bit at the end of the track so the rails go into the ground, though that doesn't stop the train.
EDIT: The track ends are by Elvenor, kuid's 63290:24006 and 24007.