I installed a second pickup shoe on my E40 (39140) to improve its running over dirty track. Here are the three steps I took to do this:
1) Tap threads into existing hole in bogie.
2) Fabricate a pickup shoe contact plate for bogie frame.
3) Run additional red wire to PCB.
First of all, some threads need to be created for the pickup shoe fastener. I used the same thread size as the existing pickup shoe uses, which is a 2mm thread:
M2 x 0.4. You will need both a starting tap, as well as a bottoming tap to create threads the entire depth of the hole. Also, a racheting tap handle is a big help, because you won't have to loosen your grip on the handle while tapping. Although the "right" way to put these threads into the bogie would be to remove the bogie from the locomotive frame and put it in a vise, I took a shortcut, and did it with the bogie in place. I didn't want to remove the PCB and disconnect the drive shaft, potentially creating other problems... .
To to cut the threads with the bogie in place means you will somehow have to ensure that none of the metal chips created drop into the gearbox. At first I was just going to tape off the gearbox, but I found the tape didn't stick everywhere. Even a small crack in the tape is enough for a small sliver of metal to fall into the gearbox.

Instead, I used a product sold in toy stores here in the USA called "Silly Putty". It is very soft and pliable, but is easily removed from metal surfaces. It seems to have a silicone grease-like feel, but doesn't leave a residue.

I
gently pressed the putty over the opening of the gearbox, making sure all openings were covered, and then proceeded to tap the threads.

Once the threads were finished and the hole thoroughly cleaned of metal chips, and the threads tested with a fastener, I carefully peeled away the putty. I had no problem removing the putty, or any residual putty left on the gears, but I recommend you carefully check before moving on.


The next step is to fabricate a contact plate for the pickup shoe. I was lazy, and just used a piece of strip brass stock about the same size as the slots on the bogie frame. This is not as wide as the contact plate that Märklin supplies, but it is sufficient when using a long pickup shoe (which is the shoe the locomotive is supplied with). I can always go back and sculpt a piece of brass stock to fit precisely in the square recess, or order the exact part from Märklin.
You want to make sure the contact plate fits perfectly through the slots in the plastic bogie frame before soldering on the red wire. And, obviously, you want to solder on the wire before you slip the contact plate through the bogie frame; you don't want to melt the bogie frame!
After you've bent the contact plate tabs over the bogie frame, check to make sure the wire and soldered joint doesn't create a short circuit by touching the metal bogie. I didn't have a problem with this, and the cavity in the bogie seems large enough, but double-check anyways.


Next is running the red wire through the existing hole in the bogie and up to the PCB. Because the plastic bogie frames will be essentially tethered to the PCB, I left a generous length. The extra length will let you pull the plastic bogie frame fully away from the bogie when you want to lubricate and clean the gears. The green shrink tubing you see is just used to bundle the extra cable.
To hook up the new red wire you now have a choice: You can splice into the red wire serving the front bogie, and not have to touch the PCB with your soldering iron. Or, you can unsolder the front bogie wire from the PCB, and solder it your new wire from the rear bogie. Then, add an additional length of wire to the PCB. This is the choice I made. It gives me a little more wire to the front bogie - I found the existing length to be a little short for my taste.

I have found a second pickup shoe to be a big improvement in running characteristics. Especially for slow-speed running; my locomotive has not stalled since.
A final bit of advice: If you do not have any experience tapping (threading) holes, I would advise against doing this. A 2mm thread is very small, and it is easy to cross-thread the hole, or break the tap itself, if you don't know what you're doing. I would otherwise recommend you remove the bogie from the locomotive and take it to an experienced professional. A third option would be to order a replacement threaded bogie from Märklin.