That's true: taking the train in the VIII universe can never mean anything good. Either you're going to be roped into a mad scheme involving running over the roofs of trains and hanging precariously off the side while entering codes, or you're going to fall unconscious and hallucinate about being Galbadian soldiers, or Selphie is going to stand at the window singing 'Train, Train, Take Us Away', and nobody wants that.

It was probably better that they walked.