If you cast this with Entwine, you don’t get priority in the middle of resolution. You can’t steal something, do anything (like attack with it), and then sacrifice it.

If you choose the “sacrifice a creature” mode, you choose the target of the damage on announcement, but don’t choose what to sacrifice until resolution. You must sacrifice a creature when Grab the Reins resolves, even if you don’t want to. If you don’t control any creatures at that time, Grab the Reins deals no damage.

If you pay the entwine cost, you can sacrifice the creature you gain control of with Grab the Reins.