They take a lot of pictures and a video. You may end up spending more than your excursion cost for them.
Yes, there are changing facilities and lockers available. They will also encourage you to spend the day at the park. It is a worthy experience if you don't have other plans after your Dolphin encounter is done.
Buses leave for the port about every half hour or you can catch a taxi at any time.
Just be prepared for how hot it is this time of year in Cozumel.