Thanks for explaining it and reordering the sentence
I think I need to get used to see a different word order than I expect.
The weird thing is that I can say it in my native language like that too, but I didn't realize this is the same. Maybe because we use a small separated part in front of the word to show accusative.
Not at all awkward. Imagine you and a friend are in a strange train station with different tracks. Wouldn't it be natural to say "Which train do we take?" On the other hand, you could be looking at a train schedule and trying to decide at what time you want to go. In that case you would say "Which train will we take?" which in German is "Welchen Zug nehmen wir?"
I agree. "Which train do we take?" isn't awkward. I'm sure that "Which train are we taking?" is accepted, too. That said, I disagree with Raisinnoir with respect to "Which train will we take?" as a possible interpretation. I believe the correct translation of this sentence would be "Welchen Zug werden wir nehmen?" as the English is future tense as opposed to present tense.