You'll most likely come down I95. HH has a number of exits off I95, the resort will give you the best exit to take.
The resort itself isn't that well marked. They do have a sign up on the main road ( 278 I think) but it needs a trim as it isn't easy to see ( particularly in the dark) it is on the right hand side of the road (if you are going in a clockwise direction), just after a Cracker Barrel and the main shopping Mall. The resort is in Shelter Cove Harbour and is in the Palmetto Dunes area. You have the option of taking the toll road once you get onto HH Island and going round the 278 in the opposite direction but IMHO it's further that way and it costs the toll. IMHO not taking the toll road is the better option.