For the first time, I decided to use Plexiglass to make the building core. I've many people use it with success. Also, my previous 1.5 mm thick styrene buildings badly warped. MDF isn't an option too, it also warps depending moisture and temperature.
I first modelled the building in 3D with SketchUp using the raw material dimensions I would use. Helped me a lot to cut the parts at the exact size. I use my trusty table saw to cut the walls and roof, but I must admit is doesn't make very sharp edges. That's not too much a problem since I'm covering all the surfaces with textured styrene sheets.
When all parts were cut, assembly took a few minute and was very straighforward. I kept the protective film where I planned to make windows and tried as best as I could to not let solvent cement run over these parts.
I also framed the rail car doors with 0.5 mm styrene. I'll continue tomorrow. So far, I'm pleased. The building isn't too heavy, quite strong and sturdy and not to prone to warp.