Lionel didn't make a PWC set of NYC F3s, so that's not an option.
As to some of the suggestions, first, as to the Williams NYC F3s, those are good engines, except you'll need to consider the overall expense. First you have to find the engines, which have been out of production for a number of years. Then you'd have to purchase the ERR Cruise Commander to get TMCC, which will run you $160 plus shipping plus installation. Then to get sounds you'd need to add an ERR Railsounds kit for another $130 plus installation. You'd also have to add the cost of electrocouplers if you want those. As Norton mentioned, the ERR components have gotten quite expensive, so using those is significantly more problematic than it used to be. I'm not sure what would be required to install a speaker for the sound system.
Lionel has made a LionChief Plus 2 A-A set of NYC F3s (no. 2034100), which would be great if you want to spend the money, but LC F3s are quite expensive. Street price is about $700. These are sold out a lot of places, but you can still find them if you look around.
The final alternatives are the ones you mentioned, being to get a set of Conventional Classics and then adding ERR Cruise commander and a ERR Sound Kit. You can add up what that setup would cost, being the cost of the the Conventional Classics engines plus Cruise Commander plus Sounds kit plus installation plus electocouplers. I think these NYC engines in the Conventional Classics series only came as part of a freight set, though, so you'd have to shell out for the set and then sell off the cars. The end result of this, including the ERR components, would probably run into a fair amount of money. Note that the sound system of these engines already includes a speaker which is mounted in the fuel tank, though, which is an advantage compared to the next alternative.
The other alternative you mentioned is to use the chassis of a PostWar Celebration set of F3s, which already has TMCC, RailSounds, cab interior and figures, directional lighting and electrocouplers, and combine that with the shells of the NYC Conventional Classics. That would be quite easy to do, I'd think, especially given that the speaker is already in place on the dummy A (these only came as an A-A set). It would only involve transferring the TMCC antenna, the volume control for the RailSounds, and hooking up the wires to the speaker, which is already in place. Again, though, between buying the Conventional Classics set (including the cars), plus a set of PWC engines, this will run into some money.
Another alternative, which is the one I've used, it to buy a set of PWC celebration engines and a set of MPC engines which have the shells I want, and then sell the shells of the PWC engines and the chassis of the MPC engines (actually I combine them and sell the complete engines), and put the MPC shells on the PWC chassis. MPC made the no. 8370 NYC A-B-A F3s, so those are the shells you'd want to use. The shells are competely interchangable, but there is a little surgery required on the interior electronics. That's very easy, with the exception of rigging up a baffle for the speaker, which requires a little more work.
I've attached some pictures from one of the conversions I did, transplanting a MPC F3A shell onto a PWC F3A chassis. The TMCC antenna is removed from the PWC shell and glued onto the MPC shell, very easy. The volume control knob is removed from the roof of the PWC shell. The volume control on the PWC engines is controlled by turning one of the fans, which is attached to the volume control knob. I ran the wiring with the control knob through one of the windows in the rear of the shell, again pretty easy, and hardly noticeable.
The last thing is to mount the speaker. Lionel changed the mold of the PWC shells, and a baffle with screw posts are molded in, making it easy to mount the speaker to them. This molded in baffle and screw posts aren't in the MPC shells, so those have to be constructed. I've done this two ways. On a B unit, I cut out the portion of the roof on the PWC shell that had the baffle and posts molded in, and then glued that piece to the roof interior of the MPC B unit. Of course that destroyed the PWC B shell, but it was relatively quick and easy, if not elegant. Note that the PWC engines have a roof opening with screens that the speaker fits against, while some of the earlier MPC engines have multiple slot openings instead of screens. Either way there's an opening for the speaker sound to exit the shell, and it works fine.
On an A unit I did (photos attached), I searched around for a circular piece with the same diameter as the speaker to use as a baffle. I found something that worked in the form of a detergent bottle cap I located at a Dollar Store. I cut out the closed top, and also slightly curved the part that would fit against the roof, given that the F3 roofs are slightly curved. This doesn't need to be perfect, because any gap will be filled with glue when the baffle is attached to the roof. Theres's a separate speaker holder (which is included with the PWC speaker assembly), which fits on the back of the speaker and is screwed down to four posts which are attached to the shell, and this holds the speaker to the shell. There are a number of things you could use to construct those, even wood dowels, but I cut up pieces of a clear plastic rod that is used to contol venetian blinds. I don't recall how I came up with that! Anyway, I drilled holes in the ends of the posts and screwed them to the speaker holder, and dremeled the post ends to curve them a little to fit them against the roof. Again, this doesn't have to be perfect. I glued the baffle to the shell, and then fit the speaker with it's holder to the baffle, and glued the posts to the shell. Note that the speaker can still be removed (although it probably never would be) by unscrewing the speaker holder from the posts.
One additional note. Most of the PWC F3s came as A-B sets, with the B unit having the sound, and an add-on dummy A was also offered. A few of these F3s came as A-A pairs with the sounds in the dummy A, though, although not many. Also many of these A-B engines came in a set with cars, but sometimes you can find those set engines separately. Obviously it would be easier to find the engines that were originally sold separately, otherwise you'd have to buy the set and sell the cars. Of course you can get a PWC AB set add the extra A if you want an A-B-A set.
You'd have to run the numbers to see which choice is most economical.
