It seems to boil down to two factors; Time + Money.
Marty and the Doc urgently need to leave town. We know from the pictures of the gravestones that either Marty or the Doc are liable to be killed in the showdown with Biff the following day. As you can see from the slightly longer 'final draft script', the doc devises a solution that will allow them to get the hell out of Dodge before then :
MARTY : Uh, Clint Clint Eastwood.
BLACK BIFF : Well, Mr. Eastwood. I'll see you out on the street Friday the 13th, front of the saloon. And you'd better be there!
MARTY : Yeah, right. When? High noon?
BLACK BIFF : Noon? I do my kilin" before breakfast 8 o'clock!
DOC : Now. in order to get a steam locomotive up to 88, we need a long stretch of track on a downhill grade, which still exists in 1985.
That's here — Carson Spur, which goes off the main line at this switch
track and out to Carson Ravine. We'll load the DeLorean onto the
tracks here, on Carson Spur. The train leaves the station at 7:57
MARTY : Whew. I'm glad it's before 8.
DOC : Indeed. So: we'll hijack — uh. borrow the train, uncouple the cars from the tender, throw the switch track, and then we'll butt
the locomotive against the DeLorean. You'll get in the DeLorean while
I run the steam engine, pushing the DeLorean along Carson Spur. I'll
open up the throttle, putting her into a full highball, climb to the
front of the locomotive, jump onto the DeLorean and get in, in time to
reach 88 miles per hour, at which tine Mr. Fusion will kick on the
flux capacitor, generating the traditional 1.21 jigowatts which will
send us back to 1985.
As to why they don't build a rocket sled, the simple answer is that they're in a hurry. Renting a train is also out of the question because regardless of their success or failure their plan will destroy the train's firebox and possibly cause an explosion. That's an expensive and extremely dangerous proposal that most train companies would shy away from, even if they were offered a pile of cash (which the Doc doesn't have).
Stealing a train is both quicker and free.