Determine where you want travel. If you go to the next town or city you won't need to take much, but a longer trip will require a clothing bag, food and money.
Plan your return trip when you hitch a ride on a train. Consider having a friend pick you up.
Take a flashlight and wear clothing appropriate for the climate and season. Carry non-perishable food such as jerky, and take a full canteen or water bottle.
Catch the train in a freight yard at night when you're less noticeable. Find a friendly employee in the yard that can tell you the destination of the trains, but be aware the train police will remove you from the premises if they find you.
Watch for train personnel to check the cars and get on one that is ready for departure.
Consider the conditions in the train car; other people may have urinated in it. There may be lice, critters or other people on the train.
Beware of evil elements when you hitch a ride on a train. You can encounter criminals, drug addicts or other unsavory characters that will do harm to you.