It is certainly more expensive compare to the main island (phuket) but no, koh phi phi is not expensive. The best way to get there is from phuket. I stayed in patong while I was there and found so many tour and travel agents around. The acceptable price range is around 600-800 baht for return ticket for ferry as well as the van that will take you from your hotel to the pier and back. Pay no more than 800 baht! It goes two times a day, in the morning (around 9am) and at 2pm. Hotels in koh phi phi is also more expensive, I stayed in a hotel name pp insula, it's a budget hotel but very nice, clean, quiet yet so easy to find from the pier (you might want to book it from here http://www.agoda.com/asia/thailand/koh_phi_phi_krabi/pp_insula_hotel.html). If you go on a budget trip, there are so many cheap food around, the places are not nice but surprisingly it usually taste good. So you can spend more money at night in the night club or bars for booze and shisha (and still it's not expensive at all) :) almost 6 years ago
If you are on a budget, then the cheapest place to stay is at a backpackers called The Rocks. It's the one with a big pirate ships sticking out of a rock. It won't be the nicest looking place you have stayed at, but it's cheap and full of great people.
I'm sure dorm rooms were as little at 100 Baht per night when I was there. almost 6 years ago