RailKing or Premier? What specific MTH model is this?
The headlights are 6V bulbs, and you can use white LED's, each with a 220 ohm resistor in series with it. The purple wire to the headlight is the positive side. You can also parallel a couple more bulbs, the headlight output will support three standard MTH 6V bulbs, many factory models come with them.
I'd probably look to see what other controls are available like the mars lights, ditch lights, etc. Many of the sound files have ditch lights enabled, and you can set them to always on and control them for the cab light. It would be a 6V incandescent or you could use the white LED with the 220 ohm resistor I mentioned.
Another option is to find a Premier F3 sound file that already has the interior light controls enabled and wire the cab lights to the proper place.