OK, I'll try. I don't get there by train so I'm not sure where you go when you come out of the station, just ask someone where dalkey town is & head down there, I think it's less than 5 mins to the town.
Basically it's Coliemore road your looking for, there is the pier or further up is the rocks.
When you come into the town your going to be at the end where about 4 or 5 roads all meet, look for a petshop at that junction, walk just past it & on the right is coliemore rd, you will see a pub called "The Club". Walk past that & just keep going straight, there is a sort of Y junction just passed that pub, take the right & that Y junction, just keep going straight then till you see Dalkey island, the rocks are about 5 mins walk past the harbour off a small park at the top of coliemore rd.
Here is 2 maps showing coliemore rd & the train station
http://www.dublintourist.com/maps/dalkey.shtml
It's center right on this one
http://www.killenmarine.ie/Dalkey.htm
Oh, by the way, bring plenty of traces & weights, the ground is very foul & there is usually very strong currents there.