My wife and I were on the Wonder this past May and did the catamaran snorkeling trip on Castaway Cay. This time we are discussing bringing our own stuff. It's a lot cheaper and just as good. I think bringing your own snorkel gear is a great idea.
As for Nassau, that is when I like to stay on the boat because everyone else gets off. You have everything to yourself on the boat. The problem this time is that it's our kids first time to Nassau so we will have to get off. We will only walk around and, of course, visit Tortuga rum shop