You'll want the New Port at Tourlos for that ferry, your ticket should be stamped to indicate which port.
Ask the hotel, some may offer a transfer service, some you pay, some you don't. Or ask them to get you a taxi at an appropriate time.
There is Bus going Old Port > New Port > Ag. Stephanos but depending on time of year probably not late.
You could walk if your hotel is in the Ag. Stephanos direction. It's safe to do so apart from the road being narrow in parts with no pavement(sidewalk). The New port is about 1½mi(2Km) from Mykonos centre/Old Port.