Definitely take the train from Baden-Baden to Strasbourg and on to Colmar if you wish. I highly recommend the official German train website (English translation) https://www.bahn.com/en. You can research most any itinerary in Europe, though you can only book trains originating in Germany. If you choose to go on to Colmar, you’ll change trains in Strasbourg and buy your forward tickets to Colmar. If you get good connections, you can make the trip in about 2 hours.
I also recommend making Colmar your base, rather than Strasbourg or a combination of the two. As acraven mentioned, the Unterlinden in Colmar is a world class museum. It’s considered by many one of the best small museums in Europe. You can easily add on the Dominican church across the square to see the renowned Schongauer Madonna of the Rose Garden. Additionally, Colmar is closer to IMHO the prettiest of the villages along the Alsatian wine route: Eguisheim, Keysersberg, Riquewihr, Ribeauvillé, and Bergheim. Check with the Colmar tourist office for tour options to the wine villages (https://tourisme-colmar.com/en/). If memory serves, some of the tasting rooms are open on Sundays, but check with the tourist office to be sure. Wine tasting, exploring storybook villages, with a nice lunch thrown in would be an excellent way to spend a Sunday.
Stay at Le Colombia (https://www.hotel-le-colombier.fr/en/), with one caveat: their website indicates they are doing some renovations to common spaces right now. I would inquire when that will be done before booking.
So, just to recap, spend Saturday in Colmar, when all the shops are open. Ask the receptionist at Le Colombia to make dinner reservations for you. Then spend Sunday touring the wine villages.
Sorry to go on so long. I love the Colmar area of Alsace, and I’m a bit biased.