Just bought TSW4 and discovered what a great feature Free Roam is to build convoys of any locos you choose. Just add your main train towards the rear of the chosen platform and then spawn any number of light locos in front of it, remembering to go far enough ahead to give each of them space! Then go into the front loco, reverse it onto the main train and couple it up. Repeat for each new loco and don't forget to release the brakes for them all (once all coupled, except the very front one!). Once finished climb into the front loco, set a path and away you go. Very enjoyable indeed so well done Dovetail, this feature really adds a lot to the game, especially if you have a large variety of locos from other DLCs. Triple header, quadruples the world is really your oyster!!
If this is what you enjoy then try out Formation Designer. You can create your quadruple headed train and have it spawn in an instant. Plus you can then use that formation in scenarios and other modes of the game. Yes it is only a beta and, currently, has a few flaws but it adds a new dimension to everything and will be a huge plus moving forwards.
I should add that Formation Designer is a Beta available for players on Steam or Epic Games only. It will come to consoles later.