Changing wheels on freight stock or passenger stock is dead easy any 10 year old child can do it in most cases, however to change Lima or Hornby wheels on locomotives is a different kettle of fish. It can be done if you can find the right replacement scale wheels to fit the models but in this day and age replacement wheels have rapidly been made a bit redundant with finer scale models from all manufactures so actually finding decent replacement wheels is a big chore.
You need specialist tools as well that you may not have at hand now like a wheel puller which is similar to a gear puller used to remove pushed on gears on a axle. So replacing wheels on a locomotive is a hell of a lot harder especially if it is a steam locomotive. You could of course get the Lima metal wheels at least turned down, that is machine off part of the flange but it is fiddly work and could ruin the wheelset completely as well if you are not careful due to plastic wheel centres or insulating bushes.
Steam Era Models make wheels to replace Lima pizza cutter wheels and that alone make things like IP/Ghan cars look much better, SEM also sell a range of wheels that can be used to replace existing wheels in bogie or 4 wheeled cars, but they do not make replacement wheels for locomotives though. For passenger cars you need about a 10.5 mm wheel diameter X what ever the length of the axle is that you are replacing in HO. The old wheels in most cases can easily be removed by gently pushing the bogie sideframes sideways a short distance carefully till the end of the axle pops out of the frame, do the same to the other side if need be and simply put one end of the new wheelset into the hole or bearing on one side and gently push the other side into place and you have done it.
Oh and SEM wheels are sold already on a axle which is why you need both dimensions, you might not get exactly the right length say for instance it is a 12.5 mm axle in the model originally but SEM only make a 12mm axle length, it should still clip in and work for you though just a bit more free running than the old wheelset was though!