relic
There are 2 ways to hook up light bulbs correctly, depending on the bulbs (or LEDs), and circuits (I am assuming normal DC operation in this discussion, DCC is another story).
A normal 12 volt bulb circuit puts the light bulb in PARALLEL with the motor. Both the motor and the bulb "see" whatever the track voltage is and turn or burn accordingly. At lesser voltages, the motor turns slower and the bulb burns dimmer. Either motor or bulb could be removed without affecting the other - this assumes power pack can handle the load. This arrangement is generally used in lower cost locos.
If you are going to substitute an LED in the parallel wiring situation (LED parallel to the motor), you need a resistor in series with the LED (but not the motor) to limit the LED current to less than 20 milliamps. In most cases, the calculated resistor value is 860 ohms, but is difficult to find. Using a commonly available 1K 1/4 watt resistor provides a suitable safety margin, and generates less than 1/4 watt of heat. Resistors are not polarized, so can be added on either side of the LED.
To get around dim headlights at normal operating voltages, and to provide for directional lighting, the constant intensity lighting circuits were developed. These use 2 parallel strings of diodes (or a full wave rectifier, which is the same thing in one package) in SERIES with the motor. The diode strings siphon off 1.4 volts (could be more in some cases) from the voltage available to the motor to provide to a 1.5 volt light bulb(s). This limits the top speed of the locomotive slightly, which is usually not a problem.
Substituting an LED for a 1.5V light bulb in a constant intensity circuit requires understanding of the specific LED and a schematic of your constant intensity circuit. Just a bit complicated to explain in a post.
Your problem with an A unit motor not running with the bulb removed bothers me. This should not happen if wired correctly. If a 12 volt bulb, make sure both the motor and the light bulb have indendent wiring to the track pickup system. Was the motor not running, or was the A unit simply slower at a given voltage? If the A unit was simply slower, that could be accounted for by the voltage drop of a constant intensity lighting unit, but still should not be affected by the absence or presence of the bulb.
You also hint at a problem with insufficient "power" to go up your grade at the speed you desire. Your locomotives will slow down going up a grade or under increased load. It takes some pretty fancy electronics to prevent this from happening. But if the train is stalling on the grade/curve without the wheels slipping, then you do have a problem. Either the motor is not powerful enough to pull the load, or your power pack cannot supply enough current (an indication of the latter would be the power pack getting hot/very warm). In either case, prolonged power-on stalls will likely overheat a motor, and should be avoided. If the wheels are slipping, then the loco doesn't have enough traction to pull the load up the grade, but no harm is being done to the electrical system.
Hope this helps. The more specifics you provide, the more we can help.