Here is a map of the Swiss rail system so you can visualize things:
You will see that there are three ways to get to the single line that goes over Bernina Pass, as Edgar mentions. One via Davos, one via Chur, and one via St. Moritz ( which you could reach on the Glacier Express if. you are interested in scenic journeys.). Between Chur and Filsur is the famous and scenic Landwasser Viaduct so I would go that way.
We started the n Zurich, heading to Samedan to spend the night before continuing on. Our ticket allowed us to go either of two ways, via Chur or Davos. The Swiss woman seated across from us heard our discussion and strongly urged us to go via Chur, for the scenery. So we did and were happy with that.
If you are doing it as an out and backs in one day ( which Swiss friends of mine do every year as a ritual) you shouodnnlyngo as far as Tirano---skip the bus connection to Lugano. And it is a long day if you start in Chur. From Samedan, St. Moritz, or Pontresina it would be a nice doable day, especially if you take a few hours for lunch in Tirano or Poschiavo.
You do not need to ride the designated Bernina Express---the regular regional trains ride the same tracks and have the same views. Because this is considered an international journey if you only go as far as Tirano on the Italy border, you can get great fares by booking months in advance on SBB ( look for a Special Offer price) or possibly Trenitalia ( Smart Fare). We paid 32 CHF from Samedan to Tirano.