If I was filthy rich, I'd buy a plot of land near a railway line (that is at least attached to the main lines), build my own siding, and buy one of DSB's IC3 MUs[0], maybe also an IR4 MU[1], so they can together ride on electrified and non-electrified tracks. Then refurbish their interior, install as many signal compatibility systems, and, for the IR4, have it support as many overhead voltage systems as possible. I have a soft spot for the MF/ER class trains.
That is exactly how the Halton County Railway Museum near Toronto came to be. A bunch of dudes bought an old streetcar (tram) to save it from the scrappers and built a track on some property to have fun driving it around. https://hcry.org/
Most people do this as part of a club. You join the club and combine everyone's money to buy the things needed, and then everyone in the club can enjoy it.
"Clubs" as a thing is such a great concept, and if you feel like there is some humanity missing because of all the things going on, they're real places with lots of humans and humanity in them. They work great for lots of things, from trains, computing, music to boats, puppets, gardening and whatever else. If there is no club where you live, you'll surely find at least one other member if you start it yourself :)
There is a tourist attraction here in New Zealand that started its life as a way for a potter, Barry Brickell, to get his clay and fuel for the kilns to his studio. It’s a beautiful spot, particularly if you manage to avoid a busy time.
[0] https://en.wikipedia.org/wiki/DSB_Class_MF [1] https://en.wikipedia.org/wiki/DSB_Class_MF#IR4_%22InterRegio...