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As he said, but I'll tell you that choosing and and mounting the speaker is the hard part. A poor speaker, or a good speaker poorly mounted will make the best on-board sound processor in the world sound bad.
A while back it seems some vendor was making a sound only decoder. Instead of replacing the control decoder one just added this sound unit to it. I do not remember who that was ..... Digitrax maybe? "sound bug" or something like that. Never used one myself.
Sound Module for HO, N, O Locomotives and Rolling Stock Plug N’ Play SoundFX® 8 Ohm 16 x 26 x 9mm Box Speaker & 330uF Capacitor Preloaded with 8 selectable Steam and Diesel Sound Schemes *Replaced the SFX004 No Worries Warranty