There is no train to Praia da Luz. The nearest station is Lagos which is the western terminus of the Algarve Line.
A taxi/transfer to Praia da Luz from Faro Airport would start around € 70 but may increase depending of time of day/night/week-end etc
There are no direct public buses from Faro Airport to Praia da Luz. You must get a local bus to Faro Train/Bus Station and then a train or bus to Lagos and then another local Onda bus to Praia da Luz.
For more information have a look at Cubsur's excellent site:
http://www.algarvebus.info
