If you want to stay in Mykonos for less than a week, the best option is to find a hotel in the town of Mykonos. Prices are most reasonable in June and late September. The hotel Pelican is a good option, just 10 minutes' walk from the centre.
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Travel around the Greek Islands is usually by ferry or seajet (fast ferry) but if you are travelling to Mykonos from Athens you can avoid all the hassles of getting to the port of Athens and then taking the slow trip to Mykonos by flying. The train from central Athens goes to the airport (as do most hotel buses, along the new freeway), which avoids the problem of getting to the port. The flight from Athens is around 30mins on an Olympic Airways TurboProp plane. The fastest ferry takes much longer and is subject to weather conditions. Avoid the stress and the need for sea legs.
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