Further complicating things at the railway station is the vast numbers of pickpockets. You really want to avoid speaking in English, pulling out passports, money, etc. You can also bite the bullet and buy Italian SIM cards online before you go:
Amazon.com: Noverca SIM / Micro SIM Card Italy - Incl Euro Euro 5,00 Call Credit -Italian Number - Mobile SIM Cards - International Sim Card - Pay As You Go Prepaid Sim Cards Cheap International Calls: Cell Phones & Accessories
Europa SIM-Card - Mobiles Internet in Europe, jederzeit, überall - ab ? 2 pro Tag, inkl. 100 MB (rebranded Vodafone Italy)
While I might chance buying something in the terminal, my opinion about the train station is something completely different and no I was never pickpocketed there, but I know about 50 people who were.