Hotel Roma is situated near the Entrecampos Train/Metro Station
From there you can get a Metro in Direction Rato, change to one Direction Stª. Apolonia and at Metro Station Baixa Chiado change for one for Rail Station Cais de Sodre.
Alternatively, you could walk to Areeiro Metro Station and get a train direct to Rail Station Cais de Sodre.
From Cais de Sodre there are frequent trains depending on the time of day/week to Cascais.
Cascais is not only about sandy shores but the train trip itself is worth it to see the Tagus estuary, the tower of Belem, Jeronimos Monastery and other sites of the greater Lisbon area.
Trip takes about 40 minutes each way.