If you are staying around Lake Naivasha or Naivasha town, it is very easy to visit Hell's Gate National Park without paying for an expensive tour.
To get to Lake Naivasha, I took a one-day safari tour from Nairobi to Lake Nakuru. I arranged for them to drop me off after the Nakuru safari at Burch's Resort at Lake Naivasha. The hotel is very close to the main road back to Nairobi. The safari tours coming from the Maasai Mara Reserve and going to Lake Nakuru also pass Naivasha and can drop people off.
If you are not on another tour to the area, you can take a matatu minibus from Nairobi to Naivasha.
The matatus leave frequently from the city center bus area at Map Location: -1.284842, 36.830737 and are very cheap.
From the Lake Naivasha or Naivasha town, matatus run frequently to the turn off to Hell's Gate National Park which is about 20 km away. The matatus will drop you off at the corner which is 2 km from the park entrance. There is a large bike rental office there so you can bike the 2 km instead of walking. Bikes cost 600 KES / 6 USD per day.