Assuming that you are connecting them in parallel, you should be able to run multiple bulbs off a single AA battery, but the more lights you run the shorter the battery life. A larger battery, say a D-cell, will last much longer. You say you tried two bulbs and "they will burn." Did the two bulbs burn noticeably dimmer than one? Did you try more than two? I'm just wondering if you hooked them up in series. I'm sorry if I sound condescending, but I sense that you are not familiar with electrical practices.
By the way you will likely get a faster response in the Model Railroader forum for this kind of question.
_____________
"A stranger's just a friend you ain't met yet." --- Dave Gardner