The 9V rechargeable NiMh battery goes in the tender, usually four or six screws to remove the shell and replace the battery. I use EBL brand batteries, they're about $3 on Amazon.
The CW-30 is not suitable, the CW-xx line of transformers has a really ugly waveform and frequently drive the Protosound electronics nuts. Also, 30 watts is pretty marginal for running any full sized locomotive with smoke.
For PS/1, I recommend a pure sine wave transformer, it'll be the most likely to give you trouble-free performance.