The secret from this point is to look at what you want to model and then break it down into simply modelled components. Each 3D piece is then built using the best tools and then combined in the end.
The vector files for my locomotive looked like this when I was done building them.
The smoke stack and boiler were built using the revolve tools. These were first built as meshes and then combined with the zero height relief to create these shapes. I then deleted the meshes. The smoke stack was first.
Meshes appear as black when unselected, green when selected. When they are rendered they appear red.
The boiler was next to be created as a mesh.
I then selected both meshes and the zero height relief. I then opened the combine meshes with relief menu and using the MERGE HIGHEST option made the meshes into a relief. When I hit render it looks like this when you are successful. I could then delete the meshes.
The steam and sand domes were next. I built them as separate reliefs using the dome tool.
When I rendered the pieces as a test I noticed the bigger dome encroached into the sloped area so I moved it back a little. When I was happy I merged highest with the zero height background.
The frame of the train was the next to get my attention. I first combined some of the components that would be the same height. Then I made them into a flat relief.
The front support for the boiler next was made into a relief. The axles were also made into a relief.
The beam which would support the train was also created at this time as was the running board and bottom of the engine cab.
I then MERGED HIGHEST all of the separate reliefs onto the zero height base relief.
I then used the SWEEP TWO RAILS function to create one half of the train rails as an I-beam. Two of these will be glued up to form each rail. This too was combined with the base relief.
I then selected my completed relief with all of the components on it and used the warp function to distort the entire relief. This would effectively bend the engine and all related components to match my concept.
After I built the wheels I sliced the relief to fit onto a sheet of 1.5" Precision Board. I merged everything to the bottom plane and merged highest with the base relief. I then duplicated the file and flipped it for the other half of the train. The file was then ready to tool path and send off to the router.