I think the best strategy of attack is to start at the western end of Rozelle Bay, walk all the way to the Sydney Fish Markets (around 1 hour), stop for some great seafood , and then lazily wander back.
If you are driving the best place to park is in the Chapman Road Carpark which is at the western end of Bicentennial Park. Why they named two Bicentennial Parks is beyond me, a definite recipe for confusion.
You can also catch the light rail from the city or Darling Harbour to either the Jubilee Park, or Rozelle Bay stop. See where they are in relation to the foreshore on this map.
Once you reach the foreshore simply follow the path east and you can't go too far wrong.
Note that near the end of the walk you will need to cut past the Glebe Rowing Club and through a school (and through their basketball court). There is a sign saying that access to the shortcut is blocked on weekdays until 4pm.
You will also need to walk along Bridge Road for a short way (a couple of hundred metres) to reach the Fish Markets.
Once at the Fish Markets you will find a cornucopia of fresh seafood just waiting to be smothered in tartare sauce.
If you caught public transport to the start of the walk you can hop of a train at the nearby Wentworth Park Station, or wander back to Rozelle. I'd recommend the walk back as everything looks quite different in the other direction.
On the walk be sure to keep an eye out for the tiny patch of mangrove that is being grown after lengthy and bitter disputes in the local council. Nothing like a patch of view-inhibiting mangroves to get Sydneysiders fired up!
Why? A pleasant walk which gives you the excuse to chow down on lots of hot chips at the fishmarket. A calorie neutral experience!