Grado is easy to reach but as Marti said, only during the day, you can't come back after the gig... so you should sleep in Grado (I can provide you some hotel info if you want) and then get back in the morning.
the easiest way to get to Grado is by train to Cervignano, and then there's a bus that takes you to Grado in 15 minutes...
As Marti said, the easier airports are Trieste, Venezia, Bologna, Verona... if your trip is a low budget trip, maybe you should calculate the train prices from those cities to Cervignano... this is where you can find all the info on the Italian trains:
http://www.fsitaliane.it/homepage_en.html
"R" and "RV" trains are the cheapest, but slowest. the others are faster but more expensive... if you decide to come, let me know and I'll help you with booking trains, because sometimes they do offers and faster trains are cheaper than usual
Unfortunately, I do nothing about trains between Germany and Italy
so I can't help you with that... but if you find cheap flights, it's better.
If you want to come to Milan, I'm sure we can arrange a trip and go to Grado together
I still don't know how I'll get there, but I'm sure we will sort it out somehow...
let me know!