Weathering is the sloppy art of taking something new and making it look like something old- simulating years of use and abuse. You can mimic: bare metal (so much contact keeps those areas clean), dust, grime (lube and oil), rust, and soot.
Grind up some pastel chalks for dust, rust, grime and soot. A razor knife or a file will let you get the chalk fine enough for application. Use a stiff brush to apply it. Remember that one of the nice things about chalk is that you can simply wash it off if you mess up. On the other hand, once you're satisfied with the results, you can opt to affix the chalk permanently with a spray coat of Testor's Dullcote.
Dry brushing: dip a brush in paint, wipe it off on a paper towel, and then use the nearly dry brush to simulate rust and grime. This works best when applied in very thin lines.
Another technique is called bounce-weathering. With this, paint is sprayed from an aerosol or airbrush onto a piece of cardboard at an angle. Paint flies off in nearly dry specks, and when these specks land on your model, you can simulate the various types of grime and dust that accumulates on railroad cars and locomotives.
Remember not to go overboard. Less is better until you get the hang of it. It also helps to look at photographs in magazines and books for ideas.