We did this 3rd party for much less than the cost of Disney. We rode a mini bus up, stopping several times, and then rode the train down. Afterwards, our van met us again and drove us to both the town overlook and then cemetery. They then either would drop us off in town (what we did) and or back at the ship. We walked the town, back to the ship. (Yes, Diamonds International, and Del Sol stores are at every cruise port in the world) Train ride time is slightly faster going back down hill vs the uphill.
One other FYI, if taking doing a one way tours, you WILL NEED your passport, as we traveled beyond the border to Emerald Lake as the turn around. Assuming the train is the must do in Skagway (it was for us), the one way option worked well for us.