Located about 1.5km outside of the village, Praia da Cueira has a nice stretch of palm-tree-lined beach facing the Atlantic that you'll likely find less crowded than the beaches in town. It's a popular spot for surfers and at the northern end of the beach you'll find Guido's Restaurante, an island institution.
To get there walk away from the dock, past the large town square and follow the main road until you're out of town. You'll see a rotunda with several wooden sculptures in the middle. Continue to the right and you'll end up on a sand road surrounded by sugarcane fields. Follow this and eventually you'll end up at the beach. There are signs in town that will point you in the general direction.