I think you mean Sassoferrato rather than Sassaferrato. There are Pecci and Andreoli living in Sassoferrato still.
Original vital records for Sassoferrato (Ancona Province) are available on microfilm through Family History Centers worldwide. The records go back to 1866, so you should be able to find records for your grandparents.
Family History Library Catalog
http://www.familysearch.org/Eng/Library ... t_fhlc.asp
Directory of Family History Centers
http://www.familysearch.org/Eng/Library ... et_fhc.asp
Family History Centers: Frequently Asked Questions
http://www.familysearch.org/Eng/Home/FA ... aq_fhc.asp
These old records can be difficult to decipher. For help, I highly recommend "Discovering Your Italian Ancestors" by Lynn Nelson. This book was written to assist researchers using the microfilmed records. You can view some sample pages at Amazon.com.
Discovering Your Italian Ancestors
http://www.amazon.com/exec/obidos/tg/de ... 1558704264
Good luck with your research,
Regina