Desperate to find any possible leads on my grandparents' marriage, I emailed one of my cousins asking if he might have any idea where it could have taken place. He told me that my grandmother's parents' church was Nativity of the Blessed Virgin Mary on the west side of Buffalo. That church is closed and I would have never found it searching as I have. I emailed another church and they told me that the records for Nativity of the Blessed Virgin Mary are now held at Our Lady of Hope church in Buffalo. I emailed them. We'll see if they find anything. Fingers crossed that the Italian tradition was to get married in the wife's church.
Update 19 Mar 2012
Today I received an email from Our Lady of Hope Church: "I found the marriage in our books and mailed out the certificate to you last week, probably on Thursday"