Found this entry over at TF2Insider.com about how, as an engineer, you can build buildings on top of the trains. Once built it seems to float in mid-air for a while until the next train comes by to destroy it.
I found this video after a little research and realized, it is possible as an Engineer to build on top of moving trains in cp_well. All you have to do is jump down on the moving train and build as you are on top of it. Your structure will be built in the air with nothing below it. Here is a video: