I have, it is a nice town and a great gateway to the Julian Alps, although the first week of May may be a bit too early to visit for my liking. There will be too much snow in the mountains to do any serious hiking and the waters of Lake Jasna will not be warm enough for swimming. On the other hand, the Vrsic Pass will have opened by then so definitely consider a scenic drive over the pass and into the Soca Valley. You would need a rental car for this, as there is no bus service over the pass outside of summer.
A lovely 20 mi (30 km) cycling route connects Kranjska Gora with Jesenice on one side and Tarvisio in Italy on the other. Sights in the vicinity include the Zelenci springs, the Planica Valley, home to one of the world's largest ski jumping hills, the Laghi di Fusine right across the Italian border and the Monte Santo di Lussari monastery near Tarvisio. A day trip to somewhere like Lake Bled, Lake Bohinj or Ljubljana is also an option.