In the original protosound engines that you have, you are correct. One at a time, get the engine running in the direction that you want it to go, and turn off the power. Then change the lockout switch to ON. So on the lead unit, you probably want the cab end running forward. If my memory serves me correctly, the B unit has a cable to connect it to the lead unit (A unit), thus there should not be a separate switch on it, it just does whatever the lead unit tells it to do.
Should you get another powered engine that doesn't have a cable to hook to the lead unit and has its own lockout switch, do the same thing to lock it in whatever direction you want it to run.
If you want to run them in the forward, neutral, reverse mode, make sure all switches are OFF. However, there is no easy way to tell the engine what is FORWARD, it defaults to the cab end in most engines, so if you get two powered A unit and you run them in forward, neutral, reverse mode, both A units will try to run with the cab end going forward and thus won't be in sequence with each other if the trailing unit is trying to run the cab point to the back.
One other very important point, early protosound engines have a battery that is like completely discharged and is bad. If you leave that battery in the engine, sometimes it will cause the engine to get in a "scrambled" state and it takes a special chip to correct that. So replace the battery with a "new" battery or a BCR (battery eliminator). If the engine (like the B unit) is connected by a cable to the lead unit, it will not have a battery in it.