PennFlyer
Hello & Welcome to the Forum!
Your Pennsy Flyer is a good starter set.
Your caboose can be retrofitted for illumination by adding a power pickup truck w/3rd rail roller and light set for an illuminated caboose.
Parts can be ordered from Lionel.
Alternately,
you could purchase an inexpensive LED battery powered string of lights or light poles from your local big box store Christmas supply section, put them in the caboose, turn 'em on & play with your train.
Lastly,
you could purchase an illuminated Pennsy Caboose & list your extra caboose in the Trains Classified sub-forum here.
Me, I'd do the LED trick...
Happy Rails!
Dave