Central Gramado is small and walkable — almost everything within the town can be done on foot. For trips to Canela and the parks, the easiest options are a rental car or a taxi/Uber. Local buses do run between Gramado and Canela but are infrequent.
Hop-on hop-off tourist buses (Bustour) operate seasonally and link the main sights, which can be a reasonable option if you do not have a car. For Caracol Falls and Parque da Ferradura, a taxi from central Gramado costs around BRL 80–100 each way; agencies in town sell half-day or full-day tours covering several of the surrounding sights.