I'd suppose they'd be of little use in a war with a major power in 1939, so I didn't even touch them so far ... but I hear they were quite effective in the Russian civil war. Of course that's two decades earlier.
Just chrome to be perfectly frank: the Russians did use them in WWII but at this scale they're no use at all in isolation, just speed bumps, never getting above '1 - 2' even at full strength and supply. Very low recon capability. They can block guerillas and other very weak units. And they have got huge moves, so are quite handy for emergency mass rail bridge blowing, although that's clearly a one-way trip and you need to plan their routes carefully.
Remind me not to take a train ride with you any time soon.
I tend to use the armoured trains to create hard points in hexes that are of particular importance. Kiev is a favourite. I find them particularly good once in fortified status - they're often the last unit to be forced to retreat from a hex.