Locos can be done, of course. Usually very difficult - but not always. If you start with one (steam) that has fairly large flanges and blind center drivers (some did/do), put the appropriate electronics in the tender with modified or 3-rail trucks already sporting pickups, then run a tether to the loco - done. (Lots of fiddling on the way to that "done".) I've done one, and I have a friend who has another steamer that was 2-rail. Excellent runner.
Some of these - most of these - locos will not be comfortable with even 36" radius (our 072 diameter) curves, but some will be after minimum fiddling. Some aren't worth it.
Cars (like the tender) can be pretty simple, especially freight cars. I do it all the time. I have several. Methods include:
Simply re-trucking to Hi-Rail trucks.
Re-wheeling the 2-rail trucks with Hi-Rail wheels and putting a Keil-Line O-gauge dummy coupler in the coupler pocket.
Weaver coupler on the original truck bolster.
All of this involves common sense and fiddling around. Ride height is an issue, sometimes, and may require invisible modification to the car bolsters.
An important consideration is: choose your battles. Some pieces are not worth it; some just fall into place. I've messed with both.
Beautiful passenger cars can be converted to 3-rail trucks fairly (I emphasize fairly) easily. Often. They all can be, but, again, common sense and hands-on experience (start small, in other words; convert a boxcar before tackling the brass Pullman) matter most.
It's all just stuff, dude - pieces and parts. Make it, change it, skip it - whatever seems logical.