The Chinijo Museum is a modest but useful stop in Caleta de Sebo, especially if La Graciosa is more than a beach day for you. Its exhibits explain the dry islands, seabirds, volcanic landforms, and protected waters of the Chinijo Archipelago in a scale that suits the island: compact, local, and easy to take in.
Go early in a stay rather than at the end. A little background on the marine reserve and the neighbouring islets makes the boat ride, the empty tracks, and the views toward Lanzarote feel less like scenery and more like a small, fragile system.