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We need to allow for the train running late.
Literal
Train [of-の] delay [object-を] factor-in-ておかない if-it-won't-do.
見込む ('to take into account, factor in, anticipate'), in its て-form 見込んで + おく gives 見込んでおく ('to factor in ahead of time'). The negative-hypothetical chain 見込んでおかないといけない = '(if) we don't factor it in, (it) won't do' = 'we have to factor it in.' ~ないといけない is a common obligation construction, slightly more conversational than ~なければならない.