This is well explained at
http://www.worldoftrainz.com/Pages/Tutorials_TRS2006/GmaxAlphaNumberTutTRS.htm
How they work is not obvious at first: the magic is that if you name the picture files containing the numbers correctly, apply them to your object in GMax and direct Trainz' attention to your fonts directory in your config file, replacement is automatic in-game. Be sure that if you're using TS2009 (and probably above) you specify a level of detail for the mesh(es) to which they will apply.