Led lights? Two tail lights and an interior light in Caboose

You mention adding a pick-up roller. Did you also add a collector for the outside rail connection?  Both are required to complete the circuit.

In the diagram below the [circled ~ ] would be the AC voltage source derived from the track.  One side (Hot) would be from the pick-up roller.  The other side of the [circled ~ ] would come through a collector plate making contact with the metal axles and wheels on the car which in turn get power (Common or ground) from the outside track rails.

If you look closely at the LED, there is a ridge around the end with the leads.  One side of the ridge has a flat spot on it.  The lead on that side of the LED is the cathode (it's also the shorter lead as it comes from the factory).

The Diode's cathode is indicated by the lead closest to the stripe around the body of the diode.

All cathodes (diode and LEDs) should be oriented towards the same power source connection as shown below.  Additional LEDs can be added into this circuit in series with the one shown in the diagram.  1KΩ is the resistor.  It has no polarity.

If you added only one pickup roller, you'll want a fairly large capacitor to supply the LED's over the gaps so they're not flickering all the time.  Here's a suggested circuit that will light all three LED's and provide flicker resistance as well.

Do you already have the interior light?  Is it a single LED? And when you say you have the diodes and resistors, what are they and how did you know which ones to buy?

In the measure-twice cut-once category, if it's indeed a single white LED are you sure this is sufficient to satisfactorily illuminate the interior of a caboose? 

In my opinion, if going thru the trouble of opening up the caboose, soldering, wiring, etc., I'd want smooth/uniform lighting rather than the "hot-spot" appearance of traditional incandescent bulb cabooses where 1 or 2 bulbs only serve to show that there are 1 or 2 bulbs!