Step 1: Study lots of photos showing the prototype you're modeling, and take note of any unusual details. Also, try checking the magazine index at
http://www.trains.com for detailing articles in back issues of MR and other magazines.
Step 2: Order the F-unit super detailing kits from Detail Associates and Details West. Search for these on the Walthers website - I'm not exactly sure of their contents, but they should pretty much have you covered for standard parts. My experience (regarding the AMD-103 detail kits made by the same two companies) is that Detail Associates includes general parts like grab irons and MU connectors, while Details West gives you various types of piping and other specialized parts.
Step 3: Once you find out what details you'll be getting in those kits, order any additional parts from those and other manufacturers. Again, search the Walthers website to find parts appropriate for F-units.
This is generally the process you should always follow when detailing any piece of equipment. The most important step is the careful research to find out exactly what you need to do, the rest is just a matter of adding the necessary parts. There may be some question as to who makes certain detail parts, but you should be able to identify what you need by comparing your model to photos.