If you want to do a dolphin swim, book early as it sells out quickly in the summer months.
FYI, everyone in your party does not have to do the dolphin swim, you can get park admission for a lot less if you just want to watch your fellow family members participate in the dolphin swim. They don't let get too close to take pictures though.
As they limit the number of guests, there is no better or worse day of the week to visit.
Lou