On both islands, you can take an independent tour.
In St. Thomas we spoke the taxi dispatcher, close to the pier and he showed us some drivers and we spoke with them and got a tour for four persons, lasting 2 1/2 hours to all interesting places on the island for 80 $, means 20 $ per person.
And he stopped where we wanted to stop and made a shorter or a longer break.
In St. Martin they offer independent tours close to the pier, for about 25-30 $.
Cococay is a private island, you can only book sportive things via RCCL. Theres nothing else, but a nice place for a beach day, with enough deckchairs, a buffet and more.
We have done almost every shore excursion in the caribean on our own and never had problems and safed a lot of money.