I replace my powered Athearn loco wheel sets with NorthWest Shortline or Jay Bee 42" 110 tread nickel silver sets, which costs about $10 per loco. The nickel silver wheels stay clean much longer. I also switch out the stock plastic wheels on the dummies with the Athearn sintered iron wheels, though one does have to be careful that the dummy trucks (sans gears) line up correctly on the frame when you put them back together, or the loco shorts through the frame, which shuts down operation on the track.
If you check the Athearn iron wheels, they're slightly larger than advertised 40" scale size, so if you have an Athearn loco set up with Kadee couplers at the proper height and switch out the stock iron wheels with the 40" nickel wheels, it'll drop the loco (and coupler) height enough to fowl the coupler operation. If you haven't yet set up the coupler heights on a loco you're building, you can put in the 40" wheels and then set the coupler height correctly. Dropping the wheel size from 42" to 40" has the effect of slightly regearing the loco, meaning it takes more power for the same speed due to the smaller wheels. If you couple a loco with 40" wheels to a (dummy) loco with Athearn's iron 42" wheels, the heights of the two locos won't quite match, which is why I use the 42" wheels on most of my locos (excepting switchers, which don't run in a consist with geeps and f-units).
Weight: I normally can get about an additional 3 ounces or a bit more into most Athearn locos, using "sticky weights" in strips with blocks of 1/4-ounce or 1/2 ounce, with foam backing, inside the shell. Hobby shops sell the stuff, which are auto shop wheel weights for balancing tires.