Train wheels don't fall off because both components, the hub and the steel tyre, are made of the same metal.
Onetrack,
Not quite true, the axles and hubs/wheels tend to be something like EN40B, while the removable tires are an SG iron. If I remember correctly, the expansion co-efficient of the hub/wheel is actually higher than the SG iron, so heating during running actually tightens the interference fit.
Tootle pip!!