This is a much larger headlight (right in the picture) then comes stock with the Bachmann (left in the picture) 2-6-0/4-4-0 locomotives.  It is a friction fit on the headlight mount.  This is the standard size used by the D&RG.  The hole for the LED is 5mm, if you need to enlarge it use a rotary tool and burr, not a drill.  There is a slight ring for the glass.  After you have painted the headlight make and install the glass.  Use a piece of paper gently rubbed around ring as a template.  I used .005 clear polystyrene.  It is fiddly to get it in there.  Put a drop of thin AC cement on something that you can then get the glue to wick into the gap to hold the glass in place.