Cockburn Town itself is small enough to walk end-to-end in twenty minutes. For the lighthouse, the cruise centre, and beaches further down the coast, you need wheels — taxis are easy to find around Front Street, and several small rental agencies hire out cars, scooters, and bicycles.
Distances on Grand Turk are short — the island is only 11 km long — so a scooter or bicycle is the right rental for most stays. Roads are paved on the spine but rough on the side tracks.