Yep. 1980 or so I was rabbit hunting along a RR track south of Aurora Missouri and saw my first armadillo. Dead along the tracks. My first thought was that it had somehow hitched a ride north on the freight cars and had fallen off. But no, just they're natural migration. I've read that at about the time of the Alamo (1836) armadillos were in central Texas. I'd say they're here to stay until another ice age runs them south again. I can't tell they hurt anything, just root around in the leaves and eat grubs.
Osagian - there were instances where armadillos were found in railway cattle cars so transport by train is possible. They have made quick progress across KY and just a few years ago you didn't see them east of I-65 but it is quite common to see them now.