Visited in October 2012, here are some directions.
Turn off Cottingley Moor Road onto Lee Lane then continue ahead instead of following the road round to the left. Loads of space to park by Lee Farm. Then follow the Millennium Way path across the fields and into the woods. Shortly a path will lead off to the right before it gets steeper. At this 'junction' look to your right (North) you will see a rather inviting glade in the deciduous woodland. The stone is on this side on the edge of the grassy clearing about 20 yards to the NE of a large flat-topped rock which makes a good reference point.
This stone is really worth taking the time to find - a striking and enigmatic carving in a beautiful setting (try to ignore that the area is used for camping, etc by a Scout group). I found myself mesmerised, wondering what the inspiration/meaning could have been to those who created it. There is a natural fissure which divides the two main designs, and the intriguing thing is the deep cup-and-ring which is entirely separate.
Just to add to the folklore item below, according to the book by Joe Cooper, the two cousins always fiercely maintained that they had seen the fairies, and despite the scientific tests there was one photograph out of the 6 or 7 which could not be proved to be a fake.
You may have heard of the fairies of Cottingley already - the photographs of surprisingly fashionable fairies that convinced Arthur Conan Doyle? (His book can be read here.) They were from Cottingley Beck (and the girls who saw them insisted they were real until they died, although they admitted the photographs were fake).
These (five?) cupmarked stones however are in the (privately owned) Cottingley Woods, which is a little to the NW. A tale is told by A. Roberts (in 'Ghosts and Legends of Yorkshire' 1992) of a 19 year old called Anne Freeman, who stopped to rest at the stones on a walk. She heard a loud chattering and allegedly saw two tiny figures about 25cm tall wearing red outfits and green hats looking like 'medieval peasant dress' (an earlier mention is apparently in our own Paul Bennett's 'Tales of Yorkshire faeries I' (Earth' 9: 3-4) which gives the date of the encounter as 1976).