1.Heat oven to 350 degrees F (325 degrees F for dark or nonstick pan). Grease bottoms only of 2 (9 x 5-inch) loaf pans with shortening or cooking spray. Make cake mix as directed on box, using water, oil and eggs. Pour batter evenly into pans.
2. Bake 28 to 33 minutes or until toothpick inserted in center comes out clean. Cool 10 minutes. Run knife around sides of pans to loosen cakes; remove from pans to cooking racks. Cool completely, about 1 hour. Refrigerate or freeze cake 1 hour until firm.
3. Meanwhile, divide vanilla frosting evenly among 4 small bowls, tint 1 bowl frosting red, 1 bowl frosting yellow ,1 bowl frosting blue and 1 bowl frosting green with food colors. Spoon 1/2 cup chocolate frosting into resealable plastic bag; set aside.
4. Using serrated knife, cut rounded top off cakes to level surface; place cakes cut side down. Cut first cake as shown in diagram to make engine, being careful not to cut all the way through piece 1 when removing piece 2. Place piece 2 on top of piece 1 as shown in diagram. Cut second cake into 4 equal pieces to make cars as shown in diagram. To "crumb-coat" engine cake, spread thin layer of chocolate frosting over top and sides to seal in crumbs. For each of the car cakes, spread thin layer of red, yellow, blue and green frosting over top and sides of each car to seal crumbs. Refrigerate or freeze cakes 30 to 60 minutes.
5. Frost engine cake with remaining chocolate frosting. Cut pieces of licorice twist; place on front of engine, slanting outward, for the cow-catcher. Use licorice twist to add "trim" to the engine. Add gumdrops for engine "face" and chocolate candies for smoke stack. Top back of engine with crumbled cookies. Add gummy candy rings for wheels.
6. Frost boxcars with remaining colored frosting. Cut pieces of licorice twist to add "trim" to each of the cars. Add gummy candy rings for wheels. Top each car with assorted candies.
7. Using chocolate frosting in resealable plastic bag, snip off small corner of the bag. Pipe train tracks onto serving tray. Using large spatula transfer cakes to serving tray. Store loosely covered at room temperature.