Change out the axles one at a time. They come with instructions. You have to add the center roller pickups as Chris posted above. The scale wheels work on some 3 rail track. It's the switches that cause issues usually.
The pilots are fixed. That means the engine won't do some of the smallest curves when coupled to longer cars. For some, that's a problem. Those pilots only fit the KD couplers, and not the large electric proto-couplers for 3 rail.
I have parts for some MTH engines that I've converted to 2 rail. I sold off or traded a few parts already.