Depth of field is controlled by the aperture (f stop), you need to reduce that (make the number bigger) to increase your depth of field.
The f stop is usually quoted as that's the widest the aperture will open and is a sign of the lens's benchmark or quality, most photographers are after getting more light into the body so bigger apertures are preferred, I have a Canon EF70-300 IS USM L with an f4.0/5.6 and it costs over £1200, if I wanted F2.8 in that size lens then your looking at £3000 or more.
So a low f stop number is a good indication of a lenses quality, for 50mm then f1.2 would be really good but again your looking at over £1000 for the lens alone.
However all lenses will give good depth of field, just that better quality ones wont require as much light to achieve the same result.
As you increase the f stop you make the aperture smaller, if you leave the ASA rating the same (image grain) then to compensate the shutter speed must decrease (get longer). so lets presume a 100ASA setting to get the best image quality, a photo of a loco in studio lights may well have a setting of 1:125th at f2.8 but that will give a very small depth of field, typically you'd be looking at f11 or f14 for a half decent depth of field, however to compensate and return all things to equilibrium you will need to either adjust the ASA (bad as the grain will show and you will have grainy image quality) or the shutter speed (good as you retain quality, bad as the lower the shutter speed the longer it takes to take the picture). At F11 I reckon shutter speed might be as low as 1/30th, maybe even 1/4 second.
Most modern digital cameras can increase ASA to 400 or even 600 with little loss in image quality, far better than films of the day, but for model photography you want as much light as you can get and probably a tripod, other than that it's all experimental.
My understanding of Macros are more for small objects in very close detail, ie insects or plant life, model locos might be a little large for Macro lenses but I'm sure Chris of this parish will be along to advise you better on them and how he does his work.
HTH.