Hang tight - you should have them soon!
Princess normally sends cruise documents to the passenger's travel agency approximately 2-4 weeks prior to sailing date. If you used a travel agent (always a good idea!), they will likely turn them right around and get them out to you; if you booked online, you should check with the site in a week or so to make sure they're on the way. If you booked directly with Princess, you'll likely receive your documents in a couple weeks.
You can always book your shore excursions ahead on princess.com (Cruise Personalizer); you don't have to pay ahead of time and you can cancel when you get onboard if you change your mind, but they are strict about the tour closing times, so cancel promptly if you so choose. Cutoff time for cancellations is usually 48 hours prior to port arrival.
The snorkeling should be great in Cozumel; unfortunately, when we were in Grand Cayman, Stingray City was unable to operate tours due to tidal conditions (the weather was spectacular, but I guess the tides weren't), and they told us that they do occasionally get cancelled for that reason. You might want to have an alternative plan (like the Island Highlights!) just in case. We ended up walking around for a couple of hours and browsed in some neat little shops with fantastic artwork and really, really nice people (and some excellent local beer). We can't wait to go back and try to see the stingrays next time!
One last thing - if you love your cruise (and you will!), do yourself a favor and purchase a future cruise certificate onboard. You'll get a reduced deposit on your next cruise (you pay only $100 pp) and bonus shipboard credits from $25-$100 pp depending on the length and cabin type of your next booking. You can use them with your current travel agent or on a direct booking, they're valid for several YEARS, and fully refundable should you decide not to go! It's as close as you can get to free money.
Star Princess '02/'03/Sept'05
Diamond Princess '04 (twice!)
Island Princess '03
Sun Princess '02
Celebrity Infinity '02
Golden Princess '01
Sea Princess '00
Norwegian Sky '00