Fly into Torino if possible. From there the drive is only about 1 hour and 45 minutes. From Milan the trip is about an hour longer. Trains run from Milan and Torino to Oulx. From Oulx, frequent buses head toward Sestriere.
We suggest getting a car to move around the area. It gives you far more flexibility; however, those planning on staying in one village will find the car of little use while at the resorts.