There is a regular coastal bus service (Nº 403) between Sintra Station and Cascais Station operated by Scotturb. Unfortunately, the Scotturb website is currently undergoing a revamp (July 2007). In any event the site is not exactly user friendly.
For those who are interested here is the Summer 2007 timetable:
To view better do a right click over the image and then view in new
window.
Note: "Partidas" means departures: