No, you can not walk from Sapphire to Coki. You would need a taxi. Sapphire is ok. My 10 yr old ejoyed the snorkeling becuse it was so close to shore. The beach is "dirty" by St Thomas standards - i.e. rocks, twigs, some light garbage. Coki has very good snorkeling, but also more natives.
There is a new beach called Lindqvist or Smith Bay. It is beautiful! Very large, clean, nice snorkeling. You could take a taxi there. They are just starting to get services in there. It was taken over by the group that runs Maegans Bay a few months back. There is a $2/person fee to get in. They have lifeguards and VERY clean porto potties. Just another option.