Tharroe of Mykonos is a great hotel. The staff are all incredibly friendly and helpful. We stayed for a week and had a wonderfully relaxing time.
The hotel is at the top of a hill - the pool overlooks the coast with a spectacular view - and is about a 15 minute walk into town. The walk back is slightly longer, and harder on your legs - but still doable.
There is a small supermarket literally a couple of minutes' walk away with a decent selection of snacks. There's also a bus stop just down the road where, for €2, you can travel the short distance to Platis Gialos beach. While there you can walk the 20 minute coastal path to Paradise beach, which has more amazing views. Buses run every 20 minutes.
We mostly ate in town, which, like everything in Mykonos, is quite expensive. Get used to at least €10 for a small glass of wine. But one night we went to Tokyo Joe which is just round the corner, and had a great Japanese meal.
It's definitely worth getting a room with a sea view. We watched the sunset from our balcony most nights. The hotel was always very quiet and peaceful.