Hi Emma---you just discovered my favorite way to get to Venice. We finally did this last October. We had more time so spread the journey over several days, with overnights is Samedan ( 2 nights with a full day for a glorious hike in the sunshine) and Varenna ( one night).
Here is a map of the Swiss rail system so you can see the route:
http://www.railguide.jp/routemap/pdf/015.pdf
If you buy your tickets at the Zurich airport to your overnight stopping place in Switzerland, the ticket is good on either of the two routes you see on the map---via Klosters or via Chur. Make SURE you board a train taking the Chur route. It is much superior. You will actually be on a section of the Glacier Express and our train had narration of the features, such as the famous Landwasser Viaduct. We were advised of this by a Swiss woman on the train between the airport and the Haupbahnhof----she overheard us discussing which way to go. The other route was more convenient, time-wise, but we took her advice and were really glad we did.
I originally booked our lodging at Gasthaus and Hotel Berninahaus, an historic hotel with its own train stop after Pontresina ---- similar to Alp Grum. I did so because we have enjoyed staying in rustic Swiss mountain inns elsewhere. For some reason I changed to a small place in Samedan----a small apartment above a bakery. When I saw the Berninahaus from the train the next day, I was glad of my choice. The hotel was in a very bleak spot above tree line, and we would have felt very isolated there, as much as we love mountains.
The day following our hike day we boarded the train for Tirano. I got a very good "special offer" price of 32 CHF for our tickets by buying in advance on SBB. At Tiranomwe changed to an Italian train to Varenna---this time with tix bought on Trenitalia. From Varenna to Venice I bought our tickets on Trenitalia and again got a very good Super Economy price on the Milan to Venice portion. I also bought our tickets from Varenna-Esino to Milan in advance, to avoid the hassle of getting them from the travel agent in Varenna ( no ticket sLes at the station).
Have fun---the trip from Pontresina up and over the pass and down into the valley is spectacular---probably my favorite train ride ever. We were on a regular regional train and practically had the car to ourselves, so I could bounce back and forth between sides! depending where the best view was.