I'd be ready with your cossie on under your clothes before you go then you just have to get undressed when you're there, I take an extra carrier to put clothes in as it makes it easier to put in the locker.
A friend of mine takes a dressing gown rather than a towel for her little girl when she goes but I tend to take a towel for him.
I'd def take something for your lo to play with after you've got them dressed after the session to amuse themselves whilst you get changed too.
I always avoid getting my hair wet then it's one less thing to worry about afterwards!
the session we go to put floats and toys in the water for the lo's and puts nursery rhymes on too, when we're in the water I hold him on his back and get him used to his head going in, I sprinkle water over his head and splash him to get him used to the water and bounce him round in the water and he loves it!
I'm sure your lo will love it too, so long as you're organised with all the stuff then you'll be fine hun