Cylinder Cocks
When steam is no longer being admitted to the cylinders, they quickly cool down. This is due to them being separated from the boiler and the firebox. The steam in cylinders then condenses back into water pretty fast. As water isn't compressible, unlike steam, if enough of it collects in the cylinders and is pushed by a piston, it can break the cylinders and cause catastrophic powertrain failure.
For this reason there are cylinder cocks. They are operated by a valve from inside the cab, allowing water to be released from the cylinders. As some of the steam from the cylinder is lost while the cylinder cocks are open, acceleration is reduced. Typically, the drivers open cylinder cocks for a few seconds after being stationary for some time.
Cylinders can also fill with water in a process called priming. This is the case of the boiler having too much water, or running the vehicle with the cutoff set in the opposite direction, causing water to overflow into the cylinders.
See also: Mechanical Powertrain Damage, Water Level, Cutoff