My suggestion relates to the DIS boards: they are an incredible wealth of tips and ideas...they also can promote angst!
Best. Advice. Ever. Dis Boards and Cruise Critic are great resources, and should be consulted. But don't let them overwhelm you. There are people who have cruised 20+ times and have all the "tricks of the trade" down to a science. What to pack for Pirate Night. How to decorate your cabin. The whole "fish extender" thing. And on and on. You cannot become an expert before you first step on board the ship, and it would be torture to try. You can quickly suffer from "paralysis by over analysis". Sometimes you want to learn things organically as they unfold in front of you. That does not mean that you shouldn't do homework. Just don't try to "copy" what others are doing.
Moving on to more mundane things...
Your cabin will NOT be ready for you when you first get on board, (unless you board on the late side...but being your first cruise, you will no doubt want and try to get on board as quickly as possible.) It's not like a hotel where you get your key and go straight to your room. (At least, not on DCL). You may have several hours where you are on the ship, but not allowed to go to your cabin. This means two things that are somewhat contradictory. 1. Pack limited carry-on luggage. Whatever you are carrying when you board, you will have to lug around until you get to your cabin. You don't want to be a pack mule as you wander around the ship. 2. (And somewhat opposite), try to have enough stuff with you such that you can enjoy some activities before you get to your cabin. Want to hang out at the pool or take a dip? Make sure you have sunscreen, a swim suit and maybe a hair brush with you so that you can enjoy the pool area and maybe change back into regular clothes before you get to your cabin.
As mentioned above, the Bahamian itinerary is not the most interesting. You may want to consider staying on board while at port. Totally personal view. But other than a nice snorkeling trip I took this year, there is nothing on Nassau that I have any great desire to do again. You shouldn't be overcome by FOMO in Nassau. The most fun might be on the ship.
And I don't know if this is feasible for you, but don't go into this thinking that: "Oh. I'll just tack on a 4 day cruise to our WDW vacation." The two vacations are totally different. If you are really excited by the idea of a cruise, I would give serious thought to planning a separate vacation to scratch that itch, make it longer than 4 days, and go someplace other than the Bahamas. The incremental cost increase to do a 7 day in the Caribbean is more than worth it. My first DCL cruise (Magic inaugural cruise in '98) was a short "odd on" to a WDW vacation, and when it was over, I wished that I had: a) booked a longer cruise that was a vacation unto itself; and b) gone someplace other than
Castaway Cay and Nassau. This may or may not describe you. But you asked for "things I wish I had known" and for me, this is a biggie.