It's a safe place, but a couple Km walk, and the best route would not be along the coast, but on the street. Especially in this heat, you don't want to walk.
Better to take the bus. It's cheap, comes every 20 minutes or so, and takes less than 10 minutes to get to Sa Coma.
Mini train is once an hour but can get crowded and doesn't stop to let on passengers if full up. Return fare for adults is 3 euros
It depends which bit of Cala Millor the 2 resorts are only 5 minutes walk apart at the right ends but Cala Millor is quite a big resort so could take you as much as 40 mins, it is safe and flat with decent paths but don't go around the headland take the streets
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