This was one of our first cruises and we had so much fun. We did all the ports on our own except for St. Petersburg. Visby, Tallinn, and Helsinki are very easy to get around.
Helsinki has a hop on/hop off bus but if you are feeling energetic you can walk most of it. There are some pretty parks just outside the city - including one with a great monument to Sibelius. There's also an interesting open air market just where you walk into town from the dock.

In Copenhagen you should take a Canal tour - it's a good overview of the city and it gives you a different view. Also be sure to go to Tivoli - you can check on line and see what the entertainment is in the evening - they sometimes have very good performers. It's another relatively small city and good for walking. You can also rent bikes if you want to cover more ground.

The sail in (or sail away) to Stockholm through the archipelago is magic - be sure to be outside to see it. The Vasa is amazing and I second the recommendation for Drottningholm Slott. We spent a very pleasant afternoon at Skansen which is an open air house museum - they have houses and other buildings from all different eras and all parts of Sweden in a beautiful setting across the harbor from Old Town.

As to what to wear: the weather can vary a bit. When we were on our Baltics cruise the temperature was in the 60s for the first few days and then into the 80s for St. Petersburg and Stockholm. You can wear pants everywhere. You definitely need good comfortable shoes - there's lots of walking everywhere and these are old European cities with lots of cobblestones and uneven payment in the historic areas. We used Red October in Russia and they were great - the tours were much smaller than the ship excursions. We did not go to Moscow but everyone that did seemed to enjoy it. You did not need a head scarf when we were there. Enjoy your trip.

Mary Ellen