When the trains are running there are many possible ways you could combine a day on the railway with a countryside ramble. The diagram below illustrates some of the options for a walk and the Bluebell Railway.
The diagram on the left shows possible circular walks. For example one option would be to catch a train from Sheffield Park to Horsted Keynes Station, then do the Broadhurst Manor circular walk. Back at the station you could return to Sheffield Park or if you have time continue onwards to East Grinstead and back.
The diagram on the right shows possible linear walks. For example catch a train from East Grinstead to Kingscote then walk to Horsted Keynes. Jump back on a train and continue by steam to Sheffield Park.
The possibilities are almost endless, just make sure you know the train timetable and plan your walk to get back before the last train leaves. Otherwise you may need a local taxi.