The best way to enjoy Praia da Ursa is to walk from Cabo da Roca until Praia Grande or vice-versa. There are buses from Sintra or Cascais to both start/end of the walk. Bring good shoes with ankle support, there are some very steep cliffs. Don't do it in wet weather. Very "aerial", not for people with height problems. Getting to the beach it's not always very clear (in the last part) but there are at least two paths to get there (one a bit more tricky to find).
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