To draw a curve, first you place the circle, then attach the legs. If you do this right, the circle disappears and a curved track is generated between the leg segments.
To draw
the circle:
To draw the first leg:
You can draw a leg in either direction, either starting on the circle or ending on it. Just be sure that before you press or release the mouse button, the circle is highlighted so the segment will connect.
To complete the curve:

Draw the second leg as you did the
first. This time, when you release the mouse button, the circle disappears
and the arc section between the two legs becomes a curve.
When the train comes down one leg, it will go smoothly into and around the curve and exit on the other leg.
Notes
All curves must be horseshoes.
That is, if you go clockwise from leg A onto the curve, then you must also
go clockwise from the curve onto B. In other words, when you draw the
second segment, don't orient it backwards, as in the picture at right.
Avoid crowds. If
you are working in a crowded area, and a track end happens to lie near the rim of a
circle, then as soon as you draw the first leg to that circle, it will
automatically form a curve with that track end. In the picture at right, when you draw the tangent segment at the top (green), the curve will automatically connect to the track end at A, whether you meant it to or not.
If this happens, Undo and try a different approach: draw the other leg first, or temporarily move the offending track end away from the circle.