You can replace the old copper rectifier disc with a stud diodes for whistle performance. A good resource for that procedure is here:
http://www.tranz4mr.com/ZW_Whistle_Diodes.html
The other diodes you are talking about are TVS diodes.
The TVS diode protects against voltage spikes caused by collapsing electromagnetic fields generated by the layout (relays, solenoids, motors, derailments etc).
A short video about those spikes:
Since the source is layout side, you want the protection layout side. Many people put them on the track, others put them on the output terminals of the transformer, and some do both!
With a ZW, it is easy to take 4 TVS diodes, shape them like this so they wrap around the binding posts, (A-U, B-U, C-U, D-U).
For our trains we recommend two models of TVS:
For power supplies in excess of 18VAC, such as your ZW, use the 1.5KE36Ca diodes.
For supplies that max out at 18VAC, then you could get by with 1.5KE33Ca diodes.
They can be found on Mouser, DigiKey and similar electronics providers as well as the 'bay.
