Well, there's always wavedashing jab into grab, but you post has me thinking about the idea of how to get a grab. Not a lot of good players will walk into blizzard and getting grabs can be tricky against a cautious player. It's interesting.
You've got to remember, a grab isn't an offensive option. It's a response to a defensive option (shielding). An opponent will only shield if they respect the offensive options you have which they can beat by shielding. A lot of opponents aren't going to respect your options right off the bat like that, so you've got to make them nervous. Icies have a few good tools to do this. The first is the burst movement they get by wavedashing. If an opponent doesn't cover themselves moving from on part of the stage to the other, Icies will be in their face very quickly to pressure with jabs, tilts, and smashes. Characters with good projectiles make this type of approach really tough, and you need to kind of slog through it slowly and take your openings where you can get them. The other approach option they have is the continuous desync wall (ice blocks and blizzards, mixing in the occasional smash attack or aerial while moving with wavedashes and dashes). Most people look at this type of play and assume it's an inherently defensive style, but it's actually used best as an approach/conditioning tool. Desync walls assert stage control by putting out a wide variety of staggered hitboxes which are generally low to the ground. Usually opponents are forced into one of two positions. One is the air, where Icies have two options: to chase with uairs and hopefully net an up-b kill or platform handoff, or to punish predictable landing options. The other is the corner, where Icies excel and can KO at scary low percentages. Every opponent responds to these pressure tools differently, and their response will dictate how you get your grabs in. If they shield every ice block, chase it and grab them. If they have a tendency to run into blizzard, great. If they're in wavedashing jab distance and aren't on the defensive, go for it. I guess what I'm trying to say is that a grab is essentially a tool used in response to an opponent's play style, so you won't usually begin a match with a clear idea of how to get one. You learn over time.
One more thing!! While you're learning, be sure to use Icies' tools other than grab to make your hits count. Just because you're on the download doesn't mean you can't punish hard. When synced, their hammers do a ton of damage. Just sharking with uair -> uair or uair -> dair combos can lead to lots of percent. You can close stocks in a row by out-neutralling your opponent and then landing a well placed wavesmash without ever needing to grab them.
Hope that all made some kind of sense!
