Milan to St Moritz

Judy, The "Bernina Express" is a slight misnomer. The "Bernina Route" runs from Tirano, just over the border in Italy, via Pontresina (near St Moritz) to Chur. It has regular trains every hour, plus a limited stop train called the Bernina Express. Whichever train you take you see the same mountains.

This route is so spectacular because it goes over the Alps. It is a route from A to B, not a circular route.
Page about the Bernina Express Route by the RhB (Rhaetian Railways, the company running the route): https://www.rhb.ch/en/panoramic-trains/bernina-express

You say you "would like to take the train to St Moritz", do you actually want to go to St Moritz, or do you want to go back to Milan?

If you actually want to go to St Moritz (spend a night there), easy. Train from Milan (Milano Centrale station) to Tirano (Italian Railways), and another from Tirano to St Moritz (RhB).
If you want to double back to Milan, you have two options:
1) Double back the way you came, by train via Tirano
2) Take the bus to Lugano. This bus only runs once per day and needs reservations. then train Lugano to Milan.

As I say above, this route is best done a a way to get across the Alps, not a circular tour.

You can look up times on the SBB (Swiss Railways) website: https://www.sbb.ch/en

Another return option is to take the Bus 4 from St Moritz over the Maloja Pass to Chiavenna, then train to Colico, then train to Milano Centrale. You can leave as late as 5:15 pm and be back in Milan by 9:40 pm.

There is another way to go back to Milan, Swiss post bus St. Moritz to Chiavenna, Italy over the Maloja pass - Italian trains Chiavenna/Colico and Colico/Milan. Study timetables carefully as if you leave too late you risk being stranded somewhere. Whatever way you take, if you do the trip in a single day you should better leave very early from Milan and you will have limited time in St. Moritz. You should also check weather forecasts because this the kind of trip that does not work well in rainy or very cloudy weather.

Thanks for everyones input. I am thinking I will take a train from Milan to Tirano, switch to the Bernina express ....which I understand you can get a return ticket for the same day. So...early morning train ride to Tirano, catch the red train to St Moritz, have a small amount of time to see the town and hop on red train back to Tirano...and then back to Milan. Sound right?
Really nervous about trying this alone, but I am pretty adventurous. As long as I can get back to Milan without getting lost...I am in good shape!

There is really nothing to it. The only issue is that the named Bernina Express trains have mandatory seat reservations that will cost you about 20 CHF each way extra. The regular hourly trains don't have these, so you just pay the regular fare. The trains between Milan and Tirano are also hourly. They cost 11.50 EUR each way, are always the same price, and have no reservations. Just keep in mind that the last train from Tirano to Milan is at 8:08 pm.

The regular fare for the Swiss train from Tirano to St Moritz is 32 CHF each way. The Swiss train station is across a small piazza from the Italian train station in Tirano.

Sam,
Are you saying I pay 32 euros each way plus 20 euros each way for reservation?

Thanks Judy