Answer:
I come with a train and go with a train and the train doesn't need me but can't go without me.
I am not a toy though many use me for pleasure. I have a butt but I cannot poo.
I can speak with my hard metal tongue. But I cannot breathe, for I have no lung. What am I?
When set loose I fly away. Never so cursed as when I go astray.
I am a cold man without a soul. If there is warmth in me, it slowly will kill me. What am I?
A man goes out in heavy rain with nothing to protect him from it. His hair doesn't get wet. How does he do that?