http://www.cp.pt/cp/displayPage.do?vgnextoid=87cbd5abe2a74010VgnVCM1000007b01a8c0RCRD&lang=en
If you go my blog here
http://barlaventostravelblog.blogspot.com/2008/07/caldas-da-rainha-to-faro-by-train.html
I have posted below a selection of four through routes from Caldas to Faro. (Click on image to enlarge)
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Kindly note that there are no through services from Caldas da Rainha to Faro and it may require at least 1 and possibly two changes en route.
The timetables I have posted do not refer to the high-speed Alfa-Pendular trains that run from Lisbon Entrecampos to Faro. This is because they are not shown as relevant on the Portuguese Railway timetable. I suspect through booking from Caldas via Cacem and Entrecampos is not available.