It is about a 15-20 minute walk from the train station to the center. Don't miss the Concord Museum, which has many good exhibits about the history of the area. Be sure to get off the train in Concord Center and not West Concord, which is several miles from where you want to be.
From the Commuter Rail stop to Sleepy Hollow is a 1 mile walk, or about 20 minutes. From Sleepy Hollow to the Orchard House is 1.2 miles - from there back to the train is 1.3 miles. There is also a guided walking tour that includes both of these sites & more:
It's about a mile from the train depot to Sleepy Hollow and from there to Orchard House another mile. From Orcchard House back to the train depot is about 1.25 miles. Coming from the train, both places are a little beyond the downtown area. There is also a seasonal hop-on/hop-off trolley that runs between Concord and Lexington. I've never used it, but other visitors have complained about long waits for the trolley to arrive (there is apparently only one trolley that does a continuous loop).
Edit: Kendrick, you must be measuring from farther into the cemetery than I! ;-)Edited: 8:37 pm, March 23, 2013
I've lived in the area all my life so of course I've never really been to the cometary or the Little Women place much less walked to them from the train station but at least the ground is pretty flat. You should probably walk out to the north Bridge ("the rude bridge that arched the flood, where once the embattled farmer stood and fired the shot heard round the world"). walden Pond is the other way out of town and a bit uphill, but people do walk from the train to the pond.
Be advised that it is illegal to sell bottled water in Concord but you can bring your own. I was bitten by this recently when I went to the cafeteria in the hospital to buy a bottle of water.
Thank you all for the suggestions. It sounds like it's a something I'll be able to do. And thanks for the tip about the bottled water!