We did a similar Baltic route with Princess in 2001 (The ports are great, but there are lots of reasons we haven't gone back to Princess since)...Here are my notes:
St. Petersburg: We did all of our excursions through Princess. I really don't think the Red October folks do anything all that different and I like the idea of having things arranged through the cruise line wherever practical...We did five excursions in the two days (in retrospect, maybe the full day excursions would have been more efficient--we kept finding ourselves rushed to eat something on the ship and then back off on the next excursion--but, we were travelling with our two daughters and the half day excursions ended up being quite a cost savings). We did the City highlights tour (for an overview), the Peterhof (a MUST-see), the Hermitage (again a must...make sure to get a tour where you see this in the MORNING...they let the ship tours enter before the public and you at least have some of your tour while the museum is pretty much empty...In the afternoons, it gets very crowded) and the Yusopov (where Rasputin was killed--we enjoyed this tour quite a bit)...In the evening between the two days, we did the Ballet excursion--the ship got us seats right up front...beware the Theater is extremely hot and not air conditioned...My wife and daughters really enjoyed seeing a Russian Ballet in Russia...but, when we booked a Baltic Cruise for my parents this past summer (a gift for my Dad's 80th Birthdat--on the Celebrity Constellation, we booked them into the night river cruise and show instead)...Just make sure you have all of your time slots filled because there is so much to see and you cannot go out on your own without a costly visa...
Stockholm: One problem with Princess is that, rather than dock right in Stockholm, they opt instead to dock in Nynashamn, a long bus ride away...This makes travel on your own difficult and ship excursions expensive...Since the "on your own" excursion (which is basically just a bus there and back) was so expensive, we opted to pay not much more for the tour that takes you to town, gives you a short city tour and a tour of the Wasa Museum and then on your own before meeting for a bus ride back...Turns out to have been an excellent choice...The Wasa Museum is a little out of the way, but, in my book, is the one "don't-miss" of Stockholm...this is the flagship of the Swedish Navy that sunk on its maiden voyage in 16-something and was pulled from the ocean floor some 300+ years later--in remarkably good condition...They built the museum around it...it is simply fascinating...
Helsinki: We opted to take the shuttle bus into town and found our own cheap tour...There is a hop-on-hop-off bus tour that you can pick up from a kiosk out on the Esplinade (near where the shuttle drops you)...cost us like $20 a person, with earphone commentary in your choice of languages...Saves a lot of money off the expensive ships tours...
Tallinn: DEFINITELY do this on your own...If Princess is still using the same dock, it leaves you walking distance from the Fat Margaret Gate (The ship's shuttle can't get you any closer, really, since the town is walled and vehicles aren't allowed)... There is an excellent walking tour itinerary outlined and detailed in Rick Steve's Scandinavia book...Buy a copy or go to the library and just xerox the pages...It's the same tour as the ship's walking tours take, but you can do it at your own pace...and it's easy...
Gdansk: Here again Princess docked, not in Gdansk, but in distant Gdynia...making taking an excursion almost necessary...we again opted for the partial tour with lunch and the afternoon on our own...These seem to have been the most econimical way of doing it...And the tour part was actually longer than we expected and lunch can be found cheaply enough in Gdansk...
Warnemunde (for Berlin): Our itinerary didn't stop here, going to Oslo instead, I guess...For my parents cruise, we researched it and ended up sending them on an excursion to Berlin--just so much more of interest there...
Helsingor: Didn't stop here either as we started and ended in Copenhagen (which I love) itself...We visit Copenhagen on our July cruise with Celebrity and we're strongly considering taking their excursion out of Copenhagen that goes up to Elsinore (Helsingor)...Sort of your tour in reverse...
Hope this helped...Good luck...