Do NOT under any circumstances walk to El Zafiro from Maho at night. During the day, you could do it, although I wouldn't, as it's a decent hike. Walking or driving, directions would be basically the same, as I think going on the road would be more direct than the beach, as there is not a way to get there using only the beach.

Proceed from Maho toward Sunset Beach Bar. Just before you go under the archway to go into Alegria (Caravanseri, Morgan, whatever the heck they are calling it now), make a left and follow White Sands Road, which is by the airport. Just past where the fence for the airport stops, the road either bears left or goes basically straight. Bear to the left. There is a sign there that says Beachside Villas, and I think El Z, although I'm not certain of the latter. Just keep going on White Sands Road. It will dead end at Beachside Villas. El Z is just before BSV on the right.

Altogether, my GUESSTIMATE is that it would be about 3/4 mile from Maho, although don't quote me on that. Best to just drive there when you have the car, and visit then, or decide whether you want to walk it or not from Maho.