We're also on the Dawn, 2/12. Our kids are 6 & 8 - first timers as well.
I've just started my research on the ports we'll be at, but what I've heard so far is that in Ocho Rios you want to stay with a shore excursion and not go off on your own - we'll be doing Dunns River Falls for sure. In Grand Cayman the 7 mile beach has been recommended and is easy to travel to. I found a website that was recommended for booking your own shore excursions and they had alot of very positive reveiws - it is shoretrips.com. There was a glass bottom boat ride in Cozumel that looked like alot of fun on their web site. Also, check out the cruising for families articles on this (cruisemates) web site - it was very helpful. Not sure about Roatan and Belize yet, but I saw a really cool excursion for a zip line through the rain forest in belize - but my kids are too little - should be good for your age group though - had to be over 60lbs to do it..
Would love to hear anything you've learned as well.