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Bake and cool train and 2 mini loaves using firm-textured batter such as pound cake.
Tint a small portion of cookie dough copper. Roll out copper dough; cut 1 gingerbread boy for baby.
Roll out untinted dough and use large round Cut-Out to cut 4 wheels and medium Cut-Out to cut 10 wheels. Bake and cool. Ice wheels smooth with royal icing; let dry.
Outline wheels, spokes and pipe rosette centers with tip 16 on large wheels and tip 14 on medium wheels.
For baby cookie, use royal icing and tip 2 to pipe dot eyes, string mouth and tie on bonnet. With royal icing, pipe tip 101 ruffle for bonnet and pipe in tip 3 diaper (smooth with finger dipped in cornstarch).
Attach lollipop stick to back of cookie with royal icing, leaving 1 1/2 in. extended at bottom. Set aside.
Ice mini loaves smooth. Pipe tip 16 star top and bottom borders. Cut 12 lollipop sticks to 3 1/2 in. and push into mini loaf top for playpen railings.
With royal icing, attach 2 lollipop sticks, cut to 4 in., for front and back top railing and 2 sticks, cut to 2 in., for side top railings. Join top railings in corners with tip 3 royal icing balls.
On train engine, ice bottom sections, windows and top of smokestack smooth. Outline train and cover top of smokestack and cab with tip 21 pull-out lines.
Pipe tip 21 swirl on front of cab and tip 21 pull-out lines for cowcatcher. Cover remainder of train with tip 16 stars. Attach wheels on all cakes with icing; attach candy sticks to large wheels with royal icing. Insert candy sticks in cakes to connect cars. Cut out smoke cloud pattern from card stock, write message and tape to lollipop stick; insert stick into cake.
Position baby in playpen and toys on last car.