There are a couple of good anchorages
along the lee side of Guana cay between Black Point and Little Farmers cay with snorkeling, etc.
There is a small cove at the NW end of Big Farmers cay which is good in E-SSE winds. On Little Farmers you can visit Ocean Cabin
or the Yacht Club and I think there's a couple of other places I don't know the names of.
I've anchored many times west of Cave Cay cut (further west than the entrance to Cave Cay Marina). USE AN ANCHOR
LIGHT! Everywhere, actually.
If you don't draw too much to use the Pimblicos route
, the anchorage where Lee Stocking island joins Williams cay (I think that's the name) is delightful.
If you draw less than 4' you can go farther and anchor
at Barretarre past the mailboat dock
and visit Norman's Fishermans Inn and The Same Old Place.
In both cases you need a sense of adventure, good light, and a rising tide. Not to mention either the Explorer Charts
or Steve Pavlidis' Exuma Guide, preferably both.