This tutorial includes the most interesting and complicated steps making of this scene. Idea for doing this image came to me when I was watching small copies of the locomotives and steam locomotives at the shop. So when I came home I decided to make one of these machines. And now let's talk about making of this scene. I thought that the best way to explain all of the details is to show sequence of the images with some description for them. So there will be more images and fewer words.
Modeling
I'm sure the methods that I use are not very different than how the most modelers work. Just take a look at this wire and skylight layer pictures to understand how everything is built up.
Here are some close ups of the wheels

Head Light

Horn

Nuts

Fascade

Wires and Tiles

Loft