The reef is a few hundred meters out- it's normally very calm and not a hard swim, but as it's a fair distance, it's easiest to put on a pair of fins. If you don't have your own snorkel gear, we have sets at the hostel for $5/day. The entry from the beach is a bit goopy (mud mixed with turtle grass), so as soon as you're in knee deep water, you'll want to put your fins on and start swimming from there. You can go in right next to the dock (if the dock gate is unlocked, then just jump off the end of there rather than wading in the goop). As you look out to sea, off to the left, you'll see the cay belonging to Anthony's Key Resort, with their over-the-water bungalows. If you look straight ahead, there's a little rock island- that's the direction you should head. Initially the water is murky, but as you get out further from shore, it clears up. Around the rock island, the coral starts in, and gets very shallow. There are some parts that it's too shallow to pass overtop (be especially careful if there's some water movement, as you don't want to brush up against any), but there are deeper sections, so you can kind of weave your way through, and then about 50 meters or so past the rock island, the coral starts dropping off to a wall. Beautiful crevices, huge parrot fish, schools of blue tangs, lobsters hiding under coral, sometimes turtles, eagle rays, schools of squid, barracuda, eels... so much to see!
You can head either to the left or to the right- there's generally not much current, but if there is a bit of current, it's always better to go against it to start, so that you can get a ride back with it at the end of the snorkel, rather than struggling when you're tired.
You could head out to the same spot every day and see something different each time, but there are also other spots that you can hop in to snorkel. About a 15 min walk east along the beach, many of our hostel guests like to get in to snorkel by the site called 'Spooky Channel'. Or you could walk down to the other beach east of Anthony's Key (to get there, go left on the main road once leaving the hostel, then go down the Anthony's Key drive way, at the bottom, make a left, and walk about 10 min through the little neighbourhood until you get to the beach). If you're going to that beach, you can leave your clothes/shoes by the Beach Grill, and there are several docks along the beach that you can hop off of. That beach is also very close to the dolphin enclosure, so you can swim to the outside of their netting for a little look (the dolphins are very curious, so they'll usually swim up to say hi), and then swim onwards out to the reef.
On your way to and from the reef, don't forget to look down as you pass over the turtle grass- there's lots of great life hiding away in this area!