We did this in November on the Fantasy (since we had been to Nassau many times previously). You board a mini bus and they drive you to the rum cake factory, a ceviche place near Paradise Island, the Queens Staircase, John Watling's rum factory, another place (had teas and other things for sale) and then brought us to the beach near Baha Mar. There were umbrellas and chairs for rent at the beach but you're only there for about an hour and a half so...