You can take the Bernina Pass Express, in Italy-Switzerland boarder, by yourself or by a travel agency. From Milan is easy got the train without any help. You take the train in Central Milan station, Lecco Tirano train. See timetable in Trenitalia. You can arrive just in time to take the Bernina Express to cross the pass in Alps.
It's an amazing travel. In winter, it seems you travel inside snow.
You can go and come back in the same day, taking lunch in St. Moritz.
If you own or manage Bernina Pass, register now for free tools to enhance your listing, attract new reviews, and respond to reviewers.