This is a very popular park with locals and visitors. There is usually a long wait to enter. I waited 45 minutes one late afternoon. The parking is controlled by park staff, and they will not let you drive in unless there is a parking spot available. There is a $10 fee to enter and the best time of day is in the late afternoon if you want to photograph Cathedral Rock.
From the parking area, follow the Oak Creek Path to a sandy singletrack that marks the beginning of this trail. The first swimming hole is typically very crowded because of its close proximity to the parking area. Continue upstream to the next two swimming holes to find a little more privacy and a nice slickrock bench to hang out and enjoy the scenery.
For even more privacy, continue further upstream. The trail becomes shaded with trees and plenty of raspberry bushes. The next two swimming holes are shaded and much quieter than the previous two.