KB - kinda a can-o-worms. Depends on what you want. Am sure others will chime in on this. If you are pulling power from track DCC on one wheel ya might think about adding a full wave bridge and regulator with some value of cap after the regulator. Assuming that you have a series string of LED's to power you need to find a data sheet to see what the forward voltage [Vf] at the current [If] you want to run the LED's at. Or, seat of the pants it - Use some standard power supply that puts out a known voltage, say 12VDC [measured] and add some resistor value in series with the LED you are testing with; probably start at 800 to 1000 Ohm and raise or lower the resistance to get the LED brightness you wish. Now you can measure [Vf] across the LED and [If] by measuring the voltage across the resistor then divide by the resistance. If the LED's are from the same manufacture they should have pretty close to the same rating. For instance, say your LED [Vf] is 1.2V and you have 4 of them in a string you would have a 4.8V drop across the LED string. The regulator you choose needs to waste ( Output bridge voltage - 4.8V ) as heat. If DCC voltage is 14V, the bridge should drop about 1.4V, then the regulator needs to drop 8ish volts. At 0.015 [If], it probably will not matter and would not heat up much and you wouldn't need some sort of heat sink for it. LED's would be happy as would the regulator. If the regulator does heat up, you just need to calculate a resistor to insert into the LED string. Using the above, 8V/0.015[If] is about 530 Ohms. Power is about .119 W so 1/4 watt resistor should work. Regulator specs usually have some voltage drop input to output that the thing can withstand without heat sink which you can incorporate into your design. Cap on the output of the regulator probably could be 100uF @ 25V which should help keep the LED's on when the wheel is going across a dead frog or the like; think of it something like a 'stay alive'.
Ok, says you - I will grab DCC+ from a wheel on one end of the car, DCC- from a wheel on the other end. That should solve the dead frog problem, but not when there is a polarity change cuz of a reversing loop. Simple to solve, another bridge and regulator.