The railway that went to the harbour is still clearly visible. The embankment just outside the harbour has become a cycle and walk path. On the actual harbour you can clearly see where the two rails were (see thumbnail). The harbour's docks are made from cobblestones and where the two rails where they have now placed some other from of stones.
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The link shows an areal view of Allinge Harbour from the time when the railway was still active. The rails are to the right of the picture.
http://jernbanen.dk/forum2/images/uploaded/20120721153246500acb9e8a570.jpg