The MP3 player itself and microSD memory card are widely available on eBay; they are duplicated on the right above. I figure you might already have a microSD-to-SD card adapter to allow plugging the microSD card into most laptops to load your sound files. You didn't specify how anxious you are to get this going, but if coming from Asia your Christmas might be a Silent Night. 
I found a guy in the US selling a pair of wired 8 Ohm 28mm speakers removed from equipment. $3 each seems to going rate even on eBay Asia for 28-30mm speakers. There are train sellers of "premium" HO or even S sized speakers but that's a different discussion.
The AC-to-DC converter is not the exact one I showed in video but is the same width (just under 30mm). I was targeting 30mm as a "safe" maximum dimension to fit in an S boxcar.
This project does require soldering - to remove/replace the battery and the supplied speaker. And you do need a voltmeter to set the output voltage of the AC-to-DC converter to 3.8V (to simulate the battery). I assume you can come up with an on-off switch and splice it into the power supply path. I figure you can cobble together some kind of speaker baffle/chamber using household items; I suppose you can open the boxcar doors to let the sound out...or drill holes in the chassis floor as many sound-cars do.
Yes, there always seems to be "one more thing." But if you, or anyone else for that matter, are still interested in pursuing this, let the games begin!
