I haven't messed around much with my 2-8-0's, but the AC board should just unplug, there may be a secondary adapter board also if it had LocoSound. I know there was one for the DCC/sound loco's. Otherwise it's the standard 8-pin plug in the tender.
The headlights are LEDs, you'll need 1.5v (or better yet, 1v) for them otherwise *poof* and I haven't found an easy way to change them. There was no mention of needing headlight resistors and I blew mine out with an MRC steam decoder, also blew out the headlight functions of the decoder.
There is a motor-driven smoke unit, but mine have been turned off since day 1, so I can't help there.
Rusty