Blue Island is great to dive with. Small boats, nice trips, no cattle boats there! Highly recommend them, talk with DJ at the shop, near downtown,
As for the shells, the reason that you dont collect them is that you typically cannot get back through customs with them
Definitely do a day trip to St. John, take the ferry out of redhook if you are staying on east end, if not, downtown ferry is a bit longer, bot accomplishes same. For day trip, rent a car and hit the beaches for snorkelling. I was not overly impressed with the dive shop right in cruz bay, but have heard others have good experiences. it is a bit bulky to carry dive gear on the ferry.
As for dining on St. Thomas, as someone mentioned malfoies, Roberts at the Elysian (high dollar but worth it) on East End as well as Molly Malones in East end for cheap eats, and good food.
Rum is definitely cheap, and not a bad idea to take/buy own mixers and make your own drinks, much cheaper... but not required, as the drink specials and happy hours all over the island can definitely be worth the trip!
Enjoy, have fun, and relax. Nothing happens fast there, it is always island time!