There is no rail service to Saundersfoot, but there are regular buses to Tenby and beyond.
Saundersfoot beach is a nice place to relax, and is less crowded than its bigger neighbour Tenby.
There are not a lot of shopping options in Saundersfoot. There are a few antique and whatnot shops along the sheets leading out from the main beach area. There is a Spar (grocery story) right at the beach entrance that is handy if you need some supplies.
The Monkhouse pub serves an excellent dinner. It's a bit pricey, even by UK standards, but it worth the splurge if you can do it. It's situated in the town centre, overlooking the bay.
You wouldn't think this fairly quite town to have an active night life, but Saundersfoot definitely has a nice buzz about it, especially when it's warm. Several pubs line the streets, and you can easily spend an evening having a pub crawl through the town as you hear the ocean just a few meters away.