Hi,
I have been researching trains for gaming for a long time, and if I find any toys good enough, they are not around to buy by that point.
So we have few options:
The aforementioned Vulture Gulch train, trouble is I've never seen a pic of the coloured version.
There is also a papercraft train from Paper Terrain, and some from Marcle Models, all preprinted.
Minicraft have a 1/45 Vulcan Saddleback and coaches, but I can't tell you the gauge of that.
Nor the 1/50 Arii repops of classic Japanese locos, good luck finding rollingstock in that scale.
Redoubt and Dixon have Western trains, the Redoubt is a bit better than the Dixon but costs vastly more.
Company B have much cheaper trains, in 1/56 on S gauge track. One civilian and one armoured. I don't like their childrens-story, 4-wheeled, touristy rollingstock though.
I know one can get bogies and drivewheels separately, so I'd try that.
Also try cheaper places to buy train stuff.
http://www.toytrainheaven.com/.sc/ms/cat/O%20Bachmann--On30
These are about the best prices I've found for On30, unfortunately.
One thing you never do is order directly from the Bachmann website. Sometimes paying a bit more is fine if they give you free post, but markups like that...
http://www.bachmanntrains.com/home-usa/products.php?act=viewCat&catId=76
The On30 and O ranges don't have such a spectacular difference between the official website and online retailer prices as the HO range, but it can be a lot more. The difference is often at least as much as the postage.
Dragonwolf, what gauge is the track for that set? That loco might actually be useful. If the gauge is common enough, you could probably get rollingstock bogies and scratch the rest to fit.