Cheaper alternative to sleeping in Varenna

We enjoyed three nights at Albergo Beretta in May. It is about a 1 1/2 blocks down the hill from the train station. We didn't think it was a tough walk with our luggage up the hill to the train station, but some people might. Jessica, a hotel employee, was the most helpful and cheerful employee we met during our three week trip.

Option 4: Check out of Varenna hotel on the day you take the Bernina Express. Ask Varenna hotel to hold your luggage for you (confirm that it is willing to do that before leaving home). Retrieve bags after excursion to Switzerland and head to your next stop. Obviously, this works only if the transportation schedule is favorable. I haven't checked, but I suspect you won't have time to get very far from Varenna after the Bernina Express excursion.

Option 5: take your bags to the train station and check them at the Left Luggage facility. Then when you return you won’t even have to leave the station to reclaim your bags. When approaching the station from Verona, the left luggage room is at the far right (west) side of the station on the ground floor.

Brilliant... best so far.
Is it safe though? Of course no valuables should be left...but are there stories out there of people missing things from their luggage such as shoes, perfume, etc...

The luggage place seems quite busy. I’ve used it with no problems and have never heard of bags being broken into or items stolen.

"When approaching the station from Verona, the left luggage room is at the far right (west) side of the station on the ground floor."

As I'm reading it, the OP is referring to Varenna and not Verona.

Given the circumstances you've outlined and assuming you want to be in Milan that evening, the easiest solution would be to take your luggage with you to St. Moritz. I believe St. Moritz has both lockers as well as a luggage storage office.

A few thoughts.....

• You'll need to check out of your room in Varenna prior to leaving for St. Moritz, or pay another €280 for a partial day to store your luggage.
• As someone else mentioned, you could check-out of the room and ask the hotel if they'll store your luggage (which they would probably do). However it would be a darn nuisance to stop in Varenna to collect your luggage after the visit to St. Moritz as that would mean walking to the station, collecting the luggage and then walking back up the hill to the station.
• If you stop in Varenna to collect luggage, you'll have to be quick to get back to the station as the trains in the early evening are hourly. If you miss one train, you'll have to wait an hour for the next one.

If you take your luggage and store it in St. Moritz, you could travel directly to Milan after your day trip (one change in Tirano).

I always have a little lock on my luggage when it's out of my sight. That's an easy thing to do, to make it a less attractive target.