Baleal as well as the city of Peniche are beautiful in winter (have been there in November). If you just want to sunbath, don´t go in winter! If you appreciate a nice and calm place to relax and don´t mind wearing a windbreaker while walking at an empty beach - there you go! Especially if you love to watch surfers riding waves, this is the place for you!
I´ve been there for surflessons - so, if you are a surfer, there are some good spots for you (but I think you´ll already know that!). I recommend renting a car, so you are able to even go to the northern spots as well (someone I met there only paid 12,-€ per day renting a car from SIXT).
You can also visit FATUM surfshop and factory.
If you want to stay at a surfcamp and take lessons - I would not recommend Maximum Surfcamp (my impressions: unmotivated teachers and staff, maybe that someone had a better experience there, but not me) - try another one (there are a lot of surfcamps in that area).
From Lissabon Airport: take a taxi to the Busstation (7-9€) and then take the Express Bus to Peniche Busstaion (9,-€) - it is pretty easy to get there. The Bus from Lissabon to Peniche takes about 1,5hrs.