I've stayed at cobalt Coast before and always head there for shore diving when on GC and the weather is cooperative. The resort is very nice, beautiful rooms with well equiped efficiency kitchens, good on site restaurant, and good dive op. The shore diving there is excellent with an extensive mini wall. You can also swim out to the main wall if energetic or the dive op can scoot you out there by zodiac so you can do a wall dive and swim back in. If the weather is bad, Divetech also runs a shop near the Turtle Farm at Lighthouse point where there is usually a lee shore to dive. Divetech runs a first class boat dive operation from West or North depending on the conditions. There is more action at Sunset but the shore diving is not as good in my opinion.
If I'm on GC in the winter, I prefer to rent a condo on Seven Mile Beach and dive the West +/- head over to the North or East if the weather permits.