The reference to the Y6b helped. For some reason MTH does not seem to have parts diagrams for my Rail King or Premier Challengers but there was one for my Y6b (all PS2).
Both the Challenger and Y6b headlights are on the pilot and the marker lights are on the smokebox.
Thanks for for mentioning the instructions. I think they incorrectly labeled the marker light as the headlight but that shows me how to get to the lights.
I am sort of past the point (large hands and not so good eyes) of doing much work on my locos anymore but I hate the idea of shipping locos if I can avoid it.
According to the parts list the Rail King Challenger has lights for the headlight, the marker lights and the firebox but the Y6b only has lights for the headlight on the pilot and the firebox.
This morning I noticed the Rail King Challenger marker lights were off and also the firebox light was off so that tells me they wiring problem is probably inside the boiler.