Keep in mind that the newest Athearn releases are of far higher quality than the older models, so they shouldn't require these steps to run beautifully. Some of these same techniques can be applied to other brands of locomotives as well, so they are worth knowing regardless of whether you own Athearn units. There are two main areas that can cause problems in the running characteristics of a model locomotive. The first is electrical contact problems, which can occur in several different areas of the model, and the second is physical binding of parts, which is commonly found in the gearing of the trucks. In a real locomotive, the trucks hold the traction motors which drive the wheels, while on a model they normally contain gears, which are driven by a motor up in the body of the locomotive, connected to the truck by shafts and other parts.
Lets look at the electrical aspect of the problem first.
The very first one is the wheel sets themselves. The poor electrical contact through the wheels affects both the running characteristics of the model and how much noise the motor makes. Good electrical contact makes for a quieter, cooler running motor, which is obviously what we want. You have two options for improving this situation. One is to simply replace the wheel sets with nickel-silver aftermarket ones available through most hobby stores.