Grain is one of the few useful filters in the Filter Gallery (a hideous pit of nastiness full of useless gumpf). Its selling point is that it is pretty good for adding photographic grain. This is vital, especially in making a 'flat' CG render look more as if it came from a camera. I find that the Clumpy preset to be the best for this purpose.
If you want to do it non-destructively then pass it onto a layer filled with solid mid grey and set it to an Overlay blend mode. This can then be edited with curves to soften the grain, or resized with a transform.