Everything can be walked from the train station. At least that's what I did! The location of the Museum is marked wrongly in Lonely Planet (was using the 2002 edition), so buy a map at the train station and figure out the correct spot yourself.
Did you know it is possible to fly to Dandong from Sanya on Hainan Island? Yes, but only on Sunday, Monday, Wednesday, and Friday. The morning flight on China Southern airlines also has two stops, first in Shenzhen and then at Shanghai's Pudong airport before reaching Dandong in the afternoon. Of course, you can also fly the other way from Dandong to Sanya.
The airport is actually located 18 km south of Dandong in the small town of Langtou.
I like the convenience of crossing the border from Hong Kong to Shenzhen by ferry and then flying to Dandong. At Shanghai's Pudong airport you have time to get off the plane and purchase some snacks before completing the connection to Dandong.
I hope this information is useful in planning your China vacation.