I am heading there in November and was wondering how I should travel?
There are a couple of options I would choose. There is an overnight train service that departs Nairobi in the evening (about 7 PM) and arrives in Mombasa at 7 AM ish the next morning. If you consider this option, book a first-class cabin - you'll be more comfortable.
I would recommend flying though. Kenya Airways has many flights per day from Nairobi to Mombasa and its only an hour. The cost is reasonable and if you want to maximize your time in Mombasa, this is the way. For flight schedules check out www.KenyaAirways.com.
Also have a look at http://findmombasahotels.com/flights-to-mombasa/ about 11 years ago
I am traveling to Kenya and Tanzania this June also, cant wait to see the great migration.
I am actually doing a private 4WD safari through both countries and its actually very cheap as all meals, game drives etc are included.
I booked through www.kenyaonline.com.au over 10 years ago