Is that the one that you've just bought from Rails of Sheffield?
Sounds like a drivetrain problem, as Phil says - as you've only just got it, I reckon it should go straight back to Rails as faulty, for them to either fix it or refund you (including your costs for posting it back to them)...
Sadly, the little Field Railway locos are never as robust as the other LGB stuff, especially in the drive train area.
Jon.