If I remember correctly, you'll fill-out the immigration forms at check-in , prior to boarding the ship. Try doing the Dolphin Encounter tour. You'll get into a tank/pool with 15 to 20 other people, where an instructor gives you information and facts about these wonderful creatures. My wife loved getting to interact and touch the dolphins, but her favorite thing was when she "hugged and kissed" our dolphin named Stormy. Have fun and enjoy your cruise. Which ship are you on ?
You shouldn't have any problems with visiting the Bahamas. The Galaxy is a great ship, so have a blast !! I'm sailing the Summit to Hawaii 9/24/02 and can't wait either! Celebrity is a wonderful line, so have a great time!