We've never done Foxy's BBQ, but we LOVE the Leverick BBQ and jumbie party. Food was delicious, service was wonderful and the entertainment can't be beat.

As for the Baths, we done it both ways. My suggestion if you swim in from the dinghy line - bring your snorkel fins. It's a tough swim and fins make it just a tiny bit easier. Renting a car though is a great idea - you'll be able to use it for more than just the Baths. A highlight of our trip to VG was Hog Heaven (accessible by car or taxi) - the food & drinks are great and the views spectacular.
Enjoy!!