that Bernina Train only travels through Switzerland correct ( not Italia?)
As they say here "Jein" (sort of). The Bernina route (along which the Bernina Express and many other trains run) is Chur - Tirano, passing near St. Moritz. Most is in Switzerland, but Tirano, and the last 3 Km are in Italy.
From Tirano you can take an Italian train, via Milan, to anywhere in Italy.
From Chur you can take a Swiss train to anywhere in Switzerland (or Austria, Germany etc.)
If we want first class is it something we would have to book far in Advance??
You don't have to book trains in Switzerland, 1st or 2nd class. You buy a ticket from A to B. Normal tickets (and passes) are valid on any train on that route. "Supersaver" advance tickets are only valid on the train listed on the tickets.
If you want to travel on the specific "Bernina Express" tourist train, you can book a reserved seat, so you know where you are going to sit in advance. You can do this whether your ticket is 1st or 2nd class, and you get assigned a 1st or 2nd class seat.