Sheringham has two train stations! But only one will get you to and from elsewhere in the country, as the other is home to the North Norfolk Railway.
operates the Norwich to Sheringham service
another good website is the Bittern Line site, which contains a great deal of useful information.
I would definitely recommend you purchase your tickets 7-10 days in advance because this will ensure you get the best value ticket! And If you have children then I would highly recommend you purchase a family railcard as this gives great savings (we made our purchase cost back in 2 journeys!)
You can either book travel tickets at your local train station, via ONE railways telesales department (08700 40 90 90), with some travel agents, on the train or via the Internet.
Personally I would book direct off the internet as THE TRAINLINE delivers right to your door, usually within 48hrs.
The North Norfolk Railway has it's main station in Sheringham, and both steam and diesel (old time of course) run between Sheringham & Holt, calling at Weybourne in between the two.
In Weybourne you can walk down to down to the beach (not suitable for swimming due to strong under currents) or you can just walk around this village and then catch the train to Holt or back to Sheringham.
In Holt the station is quite a way out from the town! So you can either walk into Holt, catch a public service bus from the stop outside the station or by horse drawn cart (not cheap!)
A page from the Sheringham Town website © Creospace