Hi Jerry,
You would only need one such 'speaker-car', then play whatever sound you wanted at a given time. These sorts of speakers connect through bluetooth to any modern mp3 player such as a smartphone, tablet, ipod, and even to laptop computers and such. If I were doing this sort of project, I would do it like this:
I would use a speaker like a knock-off Beats pill. There are many fakes out there and some of them in the $20 range look pretty good for something like this. I don't own one to test the volume level, so I do not know if it will be loud enough for you. These sorts of speakers are about 1.75 inches around and 7.5 inches long, and should fit fine in a plastic box car, or stuck on a flat car. They advertise about 10 hours on a battery charge, so you will want it reasonably easy to remove to charge, and access the power switch.
Once you have the speaker attached as you like, it can be connected to your music player, in my case I have an old iPhone I don't use any more that I would use. connect to the speaker via bluetooth and play your sound track.
As for what you are going to play? I don't have any sorts of audio files already so I'd start with a clunky method to get started. set a similar locomotive that has sound on your work bench on rollers, or carefully on it's side and connect power, then run it at a speed where you like the sounds. With your smartphone/tablet you can record the sound. There are many free programs to edit audio files you can then use to get something you like and edit it so the transition where it will repeat are smooth. Once you have a recorded sound add it to your player, 'old iPhone' in my case, then set the track to repeat.
When it's time to switch engines go to the next track, one recorded for that type of engine.
I hope I'm not too confusing here, feel free to ask for clarification.
This is sort of a 'easiest way I can think of' solution, however with a little more work you could build a car with the files stored on it and a button to choose which one to play. There was a thread about something like that several months back with lots of info on cheap mp3 modules and the like.