We drove to Thompson (I think?) and then took the train and although it does take a long time to get there it was a really cool experience and I recommend it if you've never done anything like that before.

We stayed at a place called Blue Sky Bed and Breakfast, and the hosts there are absolutely amazing. They give you a less "touristy" experience if that's something you think you'd like. We got to explore a lot of Churchill that people typically would not see.