You can use either an 8 or 9 pin decoder.
WHICH you use depends on what kind of connector you have on the loco.

Does it have an 8-pin socket?
Or... does it have a 9-pin socket (with a "dummy board" plugged into it)?
Some engines might have both.

If you're not sure, take a GOOD pic (well-lighted with detail) that shows the light board on the engine. Someone will advise.

Hmmmm...
I -think- the Athearn SD-40 might have a "pop-off" dynamic brake housing on the top of the hood. This allows you to take off the housing, install a decoder, and put the housing back on without disassembling further.
Again, depends on WHICH version of the SD-40 you have (there are several).

Here's a picture of a 9-pin Digitrax decoder mounted to an 8-pin harness.
You can see the 8-pin connector.
The red arrow points to where the decoder is connected to the harness.
Remove the harness, and there are 9 pins.

The SD-40 may have a "dummy board" plugged into the 9-pin socket.
To install a 9-pin decoder, remove the dummy board and plug in the decoder.
BE CAREFUL -- you might have to cut away a small amount of the insulating plastic to get it to fit (the blue stuff in the pic). This won't hurt anything.

ALSO IMPORTANT:
On a loco with two decoder ports, you want to use ONLY ONE AT A TIME.
Don't plug an 8-pin decoder in unless you REMOVE the dummy board in the 9-pin slot.
Otherwise, you could burn out the decoder!

 

J.Albert, thanks for the solid write up of information there. You’re absolutely correct, Athern dynamic brake housing upper plate is removed to access the plug.

Work has me away from home for the moment, but I will update with high quality pictures on Sunday afternoon.

 

Okay so here it is, cover removed.

 

Looking at the pic above, that's a 9-pin port with a "dummy plug" inserted into it.

You have to remove the dummy plug and plug in the 9-pin decoder.
You'll need a small flat-blade screwdriver (I said, "small") to GENTLY pry the dummy plug off.

DO NOT put anything into the 8-pin port once you have the 9-pin decoder plugged in! (you can see the 8-pin port in the pic above, too)