We rented a dinghy. The biggest downside is that you're not allowed to beach your dinghies for any longer than it takes to unload your stuff, so it's a lot of swimming back and forth and hoisting yourself in and out.
However, we did get to visit some snorkeling spots we weren't able to access from land, including Henley Cay. The coral there was excellent compared to other more touristy places. However, the current was really strong here, so you had to keep an eye on where you were.
It's also an easier way to get to Waterlemon Cay, another excellent snorkeling spot. On foot, you have to hike from Annaburg Ruins to Leinster Bay, which is about a mile. Chartering a dinghy is much easier, as they have moorings out in the bay and it's a short swim to the island. Keep an eye on ocean conditions. The first time we went, it was easy to navigate. This time, it was not. My husband, who is part dolphin, wouldn't even attempt to swim all the way around the day we went because the current was pushing him back.