Either option is OK.
At Honiton you can sometimes (if you are lucky) align train and bus and some buses (Stagecoach 52B) call direct at Honiton rail station. For example includes 23 past hour until 16.23,then 17.43, 18.43 and 19.43 Mon to Fri. as far as I am aware.
Easy walk from Honiton Rail to Honiton High St for hourly buses(52A,B,C). These will all go direct into Sidmouth via Sidbury and Sidford (not past main campsite).
Walking from Exeter St Davids (main rail) to bus station is a pain (2 miles at a guess and hilly) but you could likely get a local train from Exeter St Davids to Exeter High St (rail) which is much closer to the bus station and quite walkable. Intercity trains only use St Davids as far as I know.
If you can get reservations, www.megatrain.com can be very cheap between Exeter and London. Same trains as everyone else travels on but they block-buy tickets and sell them cheap for advance travel plans. Just don't miss the appointed train!!