Trains are built sort of like cars. They do each piece individually. They will either be built on the track or will be lifted by crane onto the service track that leads out of the complex.
*Added - Most train cars (passenger coaches, freight cars) have a body that "floats" on its "trucks" (the wheels, axles, suspension). The trucks are pushed or lifted onto the track and then a crane will lower the body onto the trucks.
If a moving train has "derailed" (gone off the track), there are special "re-railers" laid down by workers that force the wheels back onto the tracks, and in most cases, the train can simply continue.
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