Head to the Cienfuegos area Delfinario, located along the coast near Playa Rancho Luna. This fairly new facility was built around a natural cove and is open to visitors Tuesdays through Sundays.
Watch a show. The Delfinario features a sea lion and dolphin show where the trained animals perform for visitors. Watch the beautiful, intelligent creatures swim and jump as you wait for your chance to join them in the water.
Pay for the swim. While the dolphin and sea lion show is fairly inexpensive, swimming with the dolphins will cost quite a bit extra, though it is cheaper at the Cienfuegos area Delfinario than some of the other dolphin swimming sites around Cuba.
Swim with the dolphins. You'll get to spend around 15 minutes splashing around with the delightful creatures. The dolphins often swim up to visitors to nudge them and sometimes even leap over them as they float in the water. If the less adventurous members of your party are reluctant to get in the water with the dolphins, they can opt to get just a kiss from a dolphin for a few dollars.
Enjoy a meal. If your dolphin swim leaves you hungry, there's a little restaurant located at the Delfinario where you can have a good meal before heading to your next destination.
Check if your hotel organizes dolphin swimming expeditions. If your experience swimming with dolphins at the Delfinario leaves you craving more, find out if your hotel offers trips to some of the other dolphin swimming locales around the island.
Visit other Cuban dolphin swimming attractions on your own. If your hotel has no other dolphin swimming opportunities, grab your map and rental car and head out. Two favorites are the Veradero Delfinario at Punto Hicacos Nature Park and the aquarium at Bahia de Naranjo Nature Park. The Veradero Delfinario is much larger than Cienfuegos and offers horseback riding in addition to the dolphin swimming and water show, while at the Bahia de Naranjo aquarium you'll have the opportunity to swim with the dolphins in large outdoor ocean pens.