You need a hire car, and I'd book a cottage. The ferries between the islands are pretty reasonable, just make sure you don't miss the last one. People are pretty friendly. When DH and I did it, we took the train to Aberdeen then the Ferry overnight. Unfortunately during our week on Shetland the Ferry ran aground, so we had to cancel the ferry and book a flight to Orkney (we did a week on Shetland and a week on Orkney). When we left our hire car at the airport, we just parked it with the key in the windshield (I guess anyone stealing a car isn't going to get far). People are very friendly.