When you leave the foliage over winter, you provide a haven for birds and other critters and you can enjoy the sort of sculptural beauty of the various seed heads. The range of choices is incredible. I suggest you look for your grasses among the perennials. Annual grasses are okay, but don't always reseed where you want them. They will, of course, live their whole lifecycle in just a year.
Perennials can take three or four years to reach a mature size.
Save time and look for container plants at your local nursery or buy by mail. Gracillimus' and its relative 'Morning Light' are two of the less coarse Miscanthus. Stipa tenuissima or Mexican Feather Grass is a small grass that stands two feet tall. I grow it in pots. This is a grass that looks like a woolly pet.