We did the Dolphin Encounter at Blue Lagoon in Nassau in November. For us it was unquestionably the highlight of the trip. I booked the Encounter myself about three months prior to our cruise. A few items:
Young child
Our just-turned-6 daughter enjoyed herself immensely. She is a so-so swimmer, but between the wetsuit and the lifejacket, she stayed afloat and warm enough to still enjoy herself (the water was quite chilly). My daughter is a HUGE animal lover, but was still very nervous around the dolphins, especially at first and when she got in the water with them. She wouldn't do the foot push at all. She did the dance, the kiss and other things, though. Overall, she had a wonderful time.
Wetsuits
We did not have to rent wetsuits - they were rent-free with the Encounter. I highly recommend using them since the water will be cold in January.
Other
BRING A WATERPROOF CAMERA! I bought a special waterproof case just for my digital camera (about $160) and it was well worth it. I took many pictures from my vantage point in the water that their photographer couldn't hope to have taken. We ended up buying one of their photos because it really turned out nice. Also, it is a bit difficult to manuever around in the water with a camera hanging around your neck, while making sure your child is not floating away somewhere, and still try to enjoy the experience!