^^ thanks to all who answered. For those who find this thread in the future:

---> The trip planner at 511.org is an excellent resource for planning your ground transportation.

Plug in your date, time, SFO and Millbrae (where Caltrain is) to see how to get there on BART. You will be able to see if you need to connect, etc.

As a matter of fact, this system can help you plan your entire local trip, including the Caltrain segment.