Yep, WL to MK is direct, less than 5 min ride either direction. Just make sure you get on an MK bus at WL and all will be good. You can't beat the short trip, except maybe by walking from CR.
The confusion comes from the other bus routes that go to other destinations. It can take about half an hour on the bus to get some places from WL (like DTD) but nowhere should take much more than that. The WDW transportation system is complex, but fairly efficient for its size.
Like others mentioned, the boat is a nice pretty option too, although not as fast as the direct bus. You could also boat to CR, which is a shorter trip then you could walk from there if you want.