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I realize I'm late to answer, but for the benefit of the future...
The eastern coast is fairly shallow, rocky and exposed to the larger lake. On the other coast of the peninsula, there are numerous protected harbors, and even some semi safe places to anchor. Horseshoe Island, just west of Ephraim may be the best protected anchorage, and Nicolet Bay at Peninsula State Park isn't too bad either.
Egg Harbor, Fish Creek, Ephraim, Sister Bay, Ellison Bay and Gills Rock (going south to north) all have marinas, and I think all have some transient slips (call ahead).