We did our own thing in Grand Turk. We like the beach and like to snorkel / dive. It is not hard to find a good beach. Just have to find what works best for you. If you like to have a good bar close by then they have it at Grand Turk.
Best stop of all. Only problem is the cabs want to take you out the the beach that is about 35 minutes away at 50 bucks one way. We took a cab over to the man made beach at the resorts. Lions Head or something like that, closer to the cruse ship and had a good day. Nice beach, good snorkeling.