Our girls were the same ages as yours when we went on our first cruise. They are in the same age group for Oceaneer's Club, which helped a lot. You all will have a great time.
It's been said that any room on board the ship is a good location. I would have to agree with that. Deck 5 is close to everything, lets you avoid the elevators if you want.
In Cozumel, there is a Dolphin Discovery. This is for ages 3 and up, but it clearly says, it is NOT a Dolphin Swim. There may be a Dolphin Swim you can do on your own (or it could be I just missed it in the Excursion book).
Palo signups are happening just after you board. Ask where when you check in.