I am applying to grad school in Spain right now and looking for some advice. I will be moving in Feb. to take a Spanish course. However, my grad school application is due in Jan. I'm wondering if it's worth it/appropriate to to include that I will be starting this class in Feb.? Or because I shouldn't include classes I haven't started on my CV?
No, it's not appropriate. You haven't completed those classes, so you shouldn't put them on your CV.
You can, however, add a section about Current Studies once you do start them, and any projects you do for those classes that feel are worth mentioning.
Your CV should only have what you have done, and what you are skilled in. The future doesn't exist as far as CV is concerned.
However, if you are including a cover letter (for a job application you really should - for grad school, it depends what they expect), you can include some statement about it. But that may make them think your Spanish isn't good right now. Of course, your language skill will be apparent as soon as you interview, but you need to get there first. Out definitely should be mentioned in the interview to show you are willing to improve.