I would normally agree with others on Little Harbor, and even Diamond Cay many times, but it appears to be much more seasonal now. All balls in Little Harbor and Diamond Cay were taken at 2:30 on Feb 9th when we had planned on lobster in Little Harbor. Many boats were also anchored in the usually available spots off Little Jost. Very limited space, several boats "practicing" deep water anchor set, and several leaving in "chase mode" to ??.
We do two weeks in January (Feb this year) and June. June is much more relaxing, and the winds have been fine the last two years. I really enjoy the January winds and the opportunity to sail when actually needing the 2nd reef (40 Cat), but the crowds and the "ball pressure" make it much less enjoyable. My advice in high season would be to start and end the day with a weather report, note projected wind shifts, and have a solid anchoring backup plan unless weather, skills, and sleeping concerns about things-that-go-bump-in-the-night dictate otherwise.