The Continental Locomotive has no actual building stages, but rather is built by completing the quest Tasks.
You will end up making a Driver Wheels, Steam Generator and Machinist’s Cab (in that order). However, you must follow the tasks in order to make the next part. If you try to build out of order, you will receive this message
Hard Task starts the Locomotive build.
Then Continental Project
Finally, The Machinist Likes it. Your Locomotive will be complete after making the Machinist’s Cab.
When you finish, it will be 24 hours until you can collect the bonus from the Locomotive. You receive Coins, Experience Locomotive Collection item and a Hard Alloy. You will be able to collect once every 24 hours unless you decide to speed up collecting by using bucks.