I reserved the Dolphin Encounter on my own when we did it. The Dolphin Encounter is on it's own island, so you're still going to need to take a boat to get there. If you book on your own, you will need to take a cab to the Paradise Island ferry terminal and take the boat from there.
The advantage to booking it on your own is that it is cheaper than booking through Disney, but the disadvantage is that if the Wonder has to skip Nassau at the last minute, you're still stuck paying for it.
We did have a bit of time between the Encounter and getting back on the boat. I think we waited about 45 minutes. They have a decent sized gift shop (where you can buy a video of the Encounter along with some nice photos) and there's a place to get snacks and drinks as well. They also have tables outside looking over the ocean where you can relax before going back. I'm not sure if you can go to the beach at the Blue Lagoon, but it probably wouldn't be worth it. By the time you got all settled, it would be time to return to the ship.