I found out there are two ways to get to Segovia. By train and bus. Train takes 2 hours and leaves every 2 hours from Atocha, 6, 8, 10, 12 and so on. Bus takes an hour and leaves every half hour from Moncola. Both cost about 6 euros. I'm not sure where you'd buy bus tickets.
The train was packed we were lucky to get 3 seats togehter.
If you decide to go I'd suggust going by bus.
If you go by train make sure you keep both parts of the reciept.
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Be Canadian Eh, that's for all you American out there:)