Unfortunately, the male header + SMD LED approach turned out to be a very problematic one. For one, the process of soldering resistors and wires to the back of the shortened header pins after soldering on the SMD LEDs tended to damage the LEDs, via mechanical stress and/or heat damage. To make things even worse, after churning through a number of off-white SMD LEDs, I discovered that the male header didn't even fit between the locomotive's metal base and the front hood's light pipes. Therefore, I struck out on another solution: removing the six metal pins from a 6-pin-wide, 0.1" male header, running 30AWG wire through each of the holes left behind, and soldering the LEDs directly to the wires. Then, I superglued each LED in place against the header, bent the wires at a right angle directly behind the header, and brought them up to the DCC decoder PCB, where I added 1/8-Watt resistors inside heat shrink tubing. To secure the header bar of SMD LEDs in place, I added a piece of black electrical tape stuck to the metal base for insulation, then superglued the header on top. The left photo below shows the header being held in place while the glue dried. The right photo shows more of the six wires extending from the LEDs to the decoder.Here, I tested the new LEDs. The left and right ditch light pipes are in place, but the center headlight light pipe is misaligned, and the front tail light light pipes are entirely missing. The first photo shows the train in reverse, with the front tail light LED and rear headlight LED both illuminated.Unfortunately, in trying to adjust the front headlight light pipe, I managed to snap it off. Turns out that cyanoacrylate (superglue) makes plastic brittle rather than flexible. To repair this, I first painstakingly used an Xacto knife to remove the excess superglue around the two cylindrical sections of light pipe leading through the gray plastic hood, then used a sewing needle to poke out the remaining pieces. I may or may not have accidentally stabbed myself through the thumb with the sewing needle the first time. To replace the missing light pipe, I shaped two pieces of 0.75mm optical fiber with the heat from a soldering iron, then superglued them in place. The first screenshot shows the missing light pipe, the second the two small pieces of optical fiber, and the last the new light pipe in place.Next I needed to complete the rear tail light light pipes. I managed to thread a new piece of optical fiber in an S shape and superglue it into place (to help with twitchy alignment with the holes in the locomotive's shell), add a second piece of optical fiber going straight to the other tail light, and then bond the two together so that they could be positioned in front of an LED. The photos below show two views of this setup.I tested the SMD LED that I added for the purpose after soldering it to a wire and a resistor and thence to the DCC decoder, found it functional, then tested it with the light pipe. The last screenshot below shows that there's light leakage out of the right rear door, which I subsequently fixed with heat shrink tubing around the LED and black Sharpie on the inner piece of clear plastic leading to that door.Finally, the interior of the locomotive is complete, with all four new SMD LEDs in place and wired in. At the last minute, I had to remove the 330uF, 25V capacitor that maintains sound functions over small discontinuities in the rail, because there was no longer any space for it. I'll be replacing it with a physically and electrically smaller capacitor.Next time, look for the final light pipe in the front hood for the front tail lights, and a short video.Edit: Updates from work done on November 8th, 2015:My one remaining hurdle with the physical modifications to my P42 was the light pipe pair for the front tail lights. Before I created the rear tail light lights pipes and front headlight light pipes, I had attempted to make the light pipes for the front tail lights, but my lack of experience made that a very unsuccessful endeavor indeed. To make things even trickier, the holes drilled in the gray plastic hood piece did not exactly match the holes in the outer shell, so the light pipe had to be created at just the right angle. With lots of trial and error (and superglue), I finally got the front tail light light pipe working correctly, as shown below. The first two photos show the light pipe in place, and the latter two show the front and rear tail lights. Note the low light leakage (and it's even better in person) as well as the eliminated light leakage at the right rear door.Finally, two views showing the completed interior wiring and light pipes. New in these photos are some additional black electrical tape to cut down light leakage even futher. I also programmed the DCC decoder to properly blink the ditch lights, but I'll save that for a video.This project is complete, but I want to finish it off with a few final "action" photos and a video of the locomotive running, playing sounds, and using all of its new lights.Edit: Updates from work up to December 7th, 2015:It turned out that I wasn't quite as finished with this project as I thought. Specifically, I had removed the capacitor used to smooth power over rough or tarnished rails, and in testing, that did not yield realistic operation at all. Therefore, I had to put the capacitor back in, but I also had to find a place to fit it. The space between the top of the body and the inside of the shell was very small indeed, so the only place I could find was in front of the decoder, on top of the worm gear that transfers power to the front wheels. In order to fit the capacitor there, I had to make two changes: (1) bend the leads of the front headlight LED to make a space, and (2) mill the plastic over the worm gear away so that the capacitor could sit partially inside the body of the locomotive. I ended up having to cut, bend, and re-solder the LED leads in order to add extra length to them, as shown in the photos below. Once I had milled away the plastic and added a layer of electrical tape around the capacitor to insulate it, the cover fit nicely onto the engine:With those changes made, the locomotive was truly completed, so I was able to take the photos and video below showing the locomotive in action, including its lights and sounds.