All you had to do was follow the damn train
Never did that. I just (hijacked and) drove the train through its pre-Stage-Unlock barriers by backing up far enough to get momentum without also derailing on the way round the curves immediately before.
Or got a Flying Dodo (easy enough to get into the airport early, by getting a car to stand atop, close enough to a bus you can then climb onto, then up and over that handy stretch of high wall, and down onto the parking apron) and fly wherever you wanted. (The Dodo was easier to use to avoid the air-to-air missiles of the patrolling jumpjet, due to its flight characteristics. Wait for them to be fired, then dive and jink straight back up after they'd passed. Much harder if you cheat-coded a JUMPJET of your own, actually.)
You still got plenty of terrestrial police attention so long as you weren't in the air (maybe even then), and the tactical 'copters, but the train was indestructible except if you derailed it while messing about trying to get round rail curves too fast, but it passed time when you felt like breaking out of the' current' sandbox from an early game position.
Though I first got to Completion
without doing to much of that stuff (maybe visiting a FOBT immediately after a save-point, betting on the longest odds and 'not minding too much' if I lost the stake and then failed a mission so to reload, but going back to a save-house straight away if I struck lucky - rinse and repeat) and that included all the side-missions/girlfriends, etc.
GTA:SA was the last of the GTAs I bought and played, for various reasons. I got my money's worth out of it, though. (The other day I actually found the packaging for this, but with only the Install disc in. I need to check which old hardware's drive still has the Play disc in kts platter, obviously.)