Stay on the road that goes past the resorts. It turns into a sand road, but it is well maintained and even if you are driving a mini-van you'll be just fine. Go straight past "Wrecked at the Reef" (a very nice bar / restaurant that until recently was a real dive) and stay on the road into town. There is a security check point as you enter, but they will just wave at you as you pass through.
If you're hungry stop at Xochitl's (pronounced "so-cheese") and enjoy the best chili rellenos on the planet. If you are thirsty or if you just want to get a t-shirt stop by JJ's Cantina. Both are on the main road as you enter Cholla Bay!
When you leave, be sure to stop at Wrecked at the Reef for more drinks and cool t-shirts.
This review is the subjective opinion of a TripAdvisor member and not of TripAdvisor LLC.