Hello,
you take the train into Penn Station. There is no subway going cross-town from Penn Station over to Grand Central. The easiest thing to do is take a cab. It won't cost much at all.
Or, if you really want to take the subway, at Penn Station, take an E train uptown and get off at Lexington Ave/53rd Street. There you will take a number 6 train downtown to Grand Central/42nd St.
But this will take you ten times longer and be ten times harder than getting into a cab for this short ride.