The wife & I go to the Greek Islands a lot Frost and have been to Mykonos many times, although we only use it now as a necessary evil to get to other Cyclades islands. If you are staying on Mykonos, my advice would be to stay far away from Mykonos Town - unless you like to hang around with the wealthy 'pretty people' and Chinese and American tourists from the MANY cruise boats. You'll also need very deep pockets, as everything is a rip off.
It's a shame, because I have spoken to many people on our travels, whose first experience of Greece is Mykonos and they vow not to return to Greece again.
If you have booked already, I'd say - as above - try to stay well away from the town, although it's definitely worth a day visit. Sorry if I sound negative. It depends what you want from a holiday.
Mykonos is a great hub to visit other islands and island hopping is really easy, whether you want to go for the day, overnight or longer. I don't want bore you, but if you want any further info, do let me know. There is nothing better than sitting on the top deck of a boat, drink an ice cold beer, watching your next destination. Whatever you do have a good holiday.