Make sure the area is clean. I use a dowel sharpened in a pencil sharpener to rub the transfer paper. I like to rub the paper both vertically and horizontally to ensure that the lettering/numbers adhere to the loco/car. Carefully lift one edge and see if the complete letter/number transferred. If not, lay the paper back down and rub it again.
The transfers made by Janice Bennet years ago were the best ones. They transferred very easily. The new ones seem to be more difficult to get a good transfer (even if they are used immediately after purchase). I have pretty much given up on them and have switched to rubber stamps.
You can burnish the letters after transfer with the cover paper (basically re-rubbing the letters to ensure adheasion). They can be overcoated, if desired, immediately.