We usually take the monorail through and walk back - the walk is long (maybe 30 minutes) but we knock off a future world attraction while we go back - or stop by the bakery in France for a treat.
But we almost never go TO the MK from Epcot. The biggest problem for us is that MK is a rope drop park - there is no way to get through Epcot and make it to the MK for rope drop - unless its an Epcot early entry morning and even then its a tight connection to make it on time. You walk to the WS entrance (10 minutes), get your bags checked (maybe 5 minutes, maybe more at rope drop), walk through Epcot (20 minutes), wait for a monorail, take the monorail, switch monorail loops, wait for the next monorail, take the monorail to the MK, have your bags checked again and then enter the parks.
(its the same process on the way home, but we aren't in a rush to get going on the way home).