Warping plywood
If you want to minimize plywood warping, then you need to seal the wood. Paint, varnish, shellac, or lacquer will all do the trick. Warping of plywood is caused by moisture, which can be absorbed directly OR through the air. Sealing vastly slows the moisture transference, which can occur regardless of your scenery materials.
Paint and/or varnish are my suggestions, because both are fairly tough and inexpensive, although varnish is preferred because it is virtually impenetrable to liquids. Shellac is easy to use, inexpensive, non-toxic, and easy to repair. Unfortunately, alcohol is a solvent, which can be problematic if you're using alcohol in your scenery work. Lacquer is not as easy to apply (not that it matters, since you're going for a protective coat, not a finish coat), dries very quickly, and is easy to fix. The downside to lacquer is the fumes, nasty, nasty stuff. It'll give you bad flashbacks to sitting at the beauty parlor waiting while your mom gets her nails done! Finish BOTH sides of the plywood, as well as all exposed edges. The edge finishing isn't nearly as important as doing both sides, but it does help cut down on the collection of splinters. Just because YOU can't see the underside doesn't mean that the moisture can't get to it, and finishing only one side will, depending on your climate, almost guarantee warping.
If you don't want to use varnish, then use some leftover paint. Don't have any? Go to the Borg and pick up a quart of "oops" paint for a buck and have at it. If you have young kids available, this is a part of the train stuff that they can participate in.
In accordance with the Addy Protocol (developed by Forrest Addy to give readers a sense of a poster's expertise regarding the subject) : I'm an utter newbie to model trains, BUT, I've been woodworking for 5+ years, and have used all of the above finishes in that time.
Grace and Peace, BD