Nope, never did, which is why I keep all my locomotive boxes.
But if I ever did, I would, after using foam scraps to protect the handrails, etc., wrap the locomotive in several layers of gift-wrapping tissue before wrapping it in bubble wrap. Bubble wrap in direct contact with painted surfaces can lead to trouble. I would then make sure that I packaged everything very firmly and securely in an appropiate-size box with all the necessary interior packing materials.
It's just a whole lot easier to keep the original boxes, if at all possible. In all my years of selling trains, I've never had a customer report that he or she received a damaged locomotive, so I must be doing something right.