For LED you need DC. The ZW is AC, and will burn out the LEDs.
You can put a cheap bridge rectifier into the circuit to convert the power to DC. A 5 Amp rating on the rectifier is enough. With a just a rectifier you risk damaging the LEDs if you turn the voltage up too high.
A better solution is a constant intensity circuit designed for a 12 volt bulb. That will put out 12V regardless of the input voltage. A simple diode or a bridge rectifier might be needed to make DC from AC. I have these circuits in my bins for 1.5 volt and 4.5 volt bulbs, but don't know if they are commercially made for 12V systems.
Personally, I'd just make bulb sockets or, if you only have a few buildings, buy ready made sockets and use regular toy train bulbs.