You should be very careful when you drive a car or a motorbike because the road network on Sikinos is very short and, as it is a very small island, they may not be well maintained with proper signs. Mind that there is only one gas station on the island in case you would like to bring your own vehicle and also only one ATM available for cash.
Since there are a lot of beaches accessible only by boat or through paths, you should be prepared with suitable clothing and shoes.