The best way is to take a bus from Al-Dammam to Al-Khafji,its about 70 SR,or from Al-Riyadh to Al Kafji 90 SR.
Check out Saptco bus company for more info..
& u'll find taxi's in the bus station to take u any where in the city ,for about 20 SR..
The beach..This is the only place that u can go to in Al Khafji..& the desert after the rain is breath taking..
Fondest memory: I miss the nice people..