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If you're manually running a train, the easy way is to do like STSF said and insert, but if you're going to be automating trains, you really need to set it up with an inserter to constantly refuel it. You can use coal instead of solid fuel depending on how you have things set up, but solid fuel is a byproduct of early oil processing, and I always end up with chests full of it.
If an automated train runs out of fuel, the obvious side effect is that it'll stop delivering its cargo, but if you have a multi-train system, it can block other trains' paths too (and potentially cause an accident between them, if you aren't using train signals).
Tip: Wood can be used to fuel the train.
Wood *can* be used, but I would advise against it. A train will burn through wood very quickly compared to other materials, and it's also hard to automate production, like you can with coal and solid fuel.
If you have a bunch of wood in your inventory and want to get rid of it, you can throw it in a chest to fuel the train - but you'll have to monitor it. If a train runs out of fuel, it can really mess things up, if other systems depend on the transported material. It can cause exponentially more problems if you have a multi-train system, since a train can stop in a location that blocks other trains - meaning nothing will be transported anywhere, and a whole facility can shut down just because your train's engine ran out of fuel. Once a train is fully automated, it's easy to forget about it's fuel supply - until you notice nothing is happening anywhere in your factory.
Here's what you can do to avoid the above problems with wood:
1. Have a chest that you put the wood into, and a fast inserter that puts it onto a belt. (this can be a requester chest if you're using logistic bots, then you can just autotrash your wood and they'll take it from your personal inventory and put it in the chest automatically)
2. The belt goes to each of the train stops at your main depot, and an inserter feeds each train while it's unloading its cargo.
3. Also feeding into this belt, at some point AFTER the wood chest and BEFORE the first train stop, have some coal or solid fuel that is either inserted or side-loaded onto the same side of the belt as the wood. Wood will get priority, but when it runs out you'll automatically switch to the alternate fuel source.
By the time you get trains, wood is basically trash. You have much better chests and power poles made from metal. Just about the only thing it's still good for is a shotgun, but you only need to make one of those so there's no reason not to burn the rest and save yourself some coal / oil products.
If you have two chests feeding one engine, won't it put equal amounts of wood and coal into the engine? Does the engine prioritize wood in that scenario? I've never played around with it to see what kind of algorithm it uses.
As for which one the engine burns first, it just uses the first stack first. So if you want it to burn the wood first, just put a piece of wood in its first slot and then let it fill the rest of the way. It might take coal into slots 2 and 3, but it'll use the wood first. A train would have to run for a LONG time to burn through 100 pieces of wood, so as long as a partial stack of wood remains in the first slot it'll keep refilling with more wood every time the engine stops until the chest runs out. Then, once the engine has used all the wood and no more is available, the slot will be open for coal to be loaded.
If you have 135 wood, it'll only fill wood. All slots are filled with wood, no coal can be loaded.
If you reach <100 wood, then you'll have two stacks of wood and one empty stack-- the empty stack can be filled simultaneously with coal. (Although the exact amount <100 is unknown to me. Some testing would be required due to the stacking bonus changes.)
Fuel is always consumed left to right-- if a stack is completely empty, then the next stack to the right is moved to the left one slot. So if you have 2 slots of wood and 1 of coal, and the left most stack of wood is consumed, then you'll have 1 stack of wood and 1 stack of coal.
I have not yet tested what happens if you have 1 stack wood, 1 stack coal, 1 stack wood (total two stack woods). (Or some other kind of combination where a single type of fuel is loaded on the first and third fuel slots instead of the first and second.)
Presumably the consumption rule of always consuming from the left stack means that it'll run on wood, then coal, then wood again.