Ferry and air connections link the islands together, but many of them are simply so small in population that scheduled services may be infrequent and prices vary.
By plane
Flights between the islands are mostly handled by Japan Transocean Air JTA; (http://www.jal.co.jp/jta/) and its subsidiary Ryukyu Air Commuter RAC, both owned by JAL. ANA's subsidiary Air Nippon ANK also has a limited network radiating out from Naha. If you plan on traveling extensively in the region by plane, consider JTA's Churashima Kippu, which gets you five JTA/RAC flights of your choice for ¥35,000.
By ship
There are dense webs of ferry links between nearby islands, but only infrequent cargo boats ply lengthier routes like Naha-Ishigaki. If traveling by boat in late summer, note that the area around Okinawa is known as Typhoon Alley for a reason.