Just rock the loco back and forth on the track when the reverse unit sticks. If still stuck, rock harder. If still stuck, I've seen guys squirt WD-40, contact cleaner - all kinds of solvents up into it. You're right in that they're not meant to be taken apart easily. I don't bother - not my idea of fun.
Just a caveat for anyone contemplating ordering Marx parts from that auction site: All the ones I've seen are vastly overpriced. Just compare prices with Grossman, and you'll see what I mean.