There's a ferry. You have to transfer over to the ferry (it's nearer to the airport than the cruise port) or to a private charter (varies where they pick up). The ferry itself is about a half hour, then you need to get to wherever you're going on Anguilla (which is lovely). Passport required in both directions, because you come from either Dutch or French SXM to British Anguilla. (Passports aren't required between the sides of SXM because everyone would go insane.)
So it's a lot of time transferring.