Rosemary probably won't winter over unless you take it inside. They're frost-tender. But they live happily in pots, just don't overwater them, no matter what season it is. As for training it, normally that is done from the very beginning as a small plant, takes a lot of patience. But you can certainly try it, it might be fun!

You can expect grapes this year, and you should run out NOW and buy an arbor to train it on. Grapevines grow really, really, fast and get very heavy. Don't use a trellis unless you can anchor it to a strong support wall or with concrete footings. The first wind will blow it over, otherwise.

I have used those inexpensive metal arbors with reasonable success by shoving them as deep as possible in the soil and anchoring one side between a tree stump and a stucco wall (it's a neighbor's vine, so I wasn't inclined to spend a lot of money). Otherwise, the best and longest lasting are the cast-iron arbors. Very sturdy and much more attractive. The cheapest ones I've found are at Orchard Supply Hardware ($149), or by mail through Spiegel.com ($129 plus shipping/tax).