Buzzing sound from steam engine

Sounds like the fan in the smoke unit?  Listen by the stack and see if that is what you are hearing.

Its most certainly the smoke unit.  This is normal.  When the engine starts to move forward you will hear the noise in synch with the smoke.  Also, shut the smoke unit it off and you will notice the "mosquito noise" disappear. 

Sunrise

Because it doesn't know the words

Had to say that , it does sound like that's the smoke unit, like Sunrise Special said, just turn the smoke unit off and then you'll know.

The reason I said the first part was because when I read your post it reminded me of an episode that happened on a Navy ship when we were assessing their Combat Systems suite.

During on of the daily meetings with the CO, he asked why the transformer on the bulkhead outside the Officer's Wardroom was humming.  Someone in the room said out loud "Because it doesn't know the words"...you could have heard a pin drop .

If it is the smoke unit and you didn't prime it, be sure to turn it off while running.  Don't want to ruin the wick.

I bought the same locomotive last week.  It is the smoke unit/fan.  This loco smokes like a Banshee so maybe it is a higher volume fan???

On another note:  keep an eye on your bell.   After running mine for maybe 30 minutes total I realized my bell was missing!   Found it lying beside the tracks.  It obviously was not screwed on nearly tight enough from the factory - but who knew!  Fine thread so no reason it came off other than negligence.   

Mine also came with the incorrect length drawbar and kept derailing on O-31 curves.  Still may not have the correct one as the connector on the tender end keeps backing out of the socket a little after running awhile and the engine shuts down until reseated.   I'm beginning to feel like the old country song "If it weren't for bad luck I'd have no luck at all" when it comes to my last two MTH purchases. 

Thanks guys it is the smoke unit.  When I shut off the smoke function from the remote the buzzing stops. It's a shame it is so loud.  Luckily the buzzing stops or cannot be heard over the engine sounds when it is in motion.  I did have smoke in it so there is no damage being done.  Again, thanks so much.