Up front -- only the diesels have axles that can be swapped out.
The only real "catch" to the scale-wheeled locomotives is the curves and track type. Tubular track is a no-go for scale wheels, but you can use the hi-rail wheel sets with tubular track. For scale wheel use, Atlas-O, MTH ScaleTrax, MTH RealTracks, and SOME Lionel FasTrack will work (O-72 and turnouts are marginal for larger diesels and turnouts must be negotiated slowly).
The curves are non-negotiable -- you need to have broad enough curves for the locomotive in question because you're using body-mounted couplers. A four-axle diesel will easily handle 36" radius (O-72) but the shorter ones can squeak through 30" radius (O-60) with 40-foot freight cars in tow at low speeds. NO "S" curves allowed -- you need to have at least 1 car-length of straight track between curves going in different directions. I've bee running scale wheels on the club layout since 2009 and I've had some issues with six-axle diesels and my scale-wheeled Big Boy where the track was uneven.