We've been there twice.
The first time we flew into Venice (Marco Polo) Airport, grabbed a shuttle bus to Mestre (the mainland off Venice) and stopped in a B&B for the night, had a lovely evening in Venice, train to Bolzano in the morning, and arranged for a driver to pick us up and deliver us to Corvara - a town on the Sella Ronda, north east of the Sella Massif. Same thing in reverse on the way out.
The second time we were skiing with Dolomites Ski Tours (DST). Mario - a friend of ours - runs the tour company and has been there for about 30 years doing just that. Other friends of ours guide for Mario, and we wanted to catch up with them. That time we flew into Venice Marco Polo (again) on a Friday and booked ourselves a night in a Venice Hotel near the train station. Back to the airport the next morning where DST's punters were picked up by the tour company in a pair of mini buses and driven up to Campitello - a town to the south and west of the Sella Ronda. We spent a week skiing with DST then packed our bags for the team to deliver them to our hotel in Corvara for a second week of skiing with friends over there (i.e. not with DST). On the afternoon of the Saturday we simply skied 20km or so around the Sella Ronda and checked into our hotel, Villa Tony, where our bags and friends were waiting for us. On the way out we caught a bus from Corvara to Marco Polo Airport (via Cortina) and then a shuttle bus back to Venice for five days. The bus out of the Dolomites is a Saturday thing rather than a daily thing (I think). Grabbing that same bus to get to Corvara from Marco Polo is an option.
If you PM me I have details for the driver, and various hotels etc.
[edit - if you're looking at trains you either come in from the south via Verona or from the north via Innsbruck, either way you end up in Bolzano needing a car to do the last bit]
Edited by sinbad7 - 6/21/16 at 5:16pm