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Yes, you can go to Colonia del Sacramento on your own---no problem at all. Go to the Buquebus Station at the pier---or any of their other ticket agencies--there is also one in Recoleta. Some reserved by phone, I think. We arrived 2 hours ahead of time on the day we wanted to go and they were sold out, so we took it for 2 days later (it was going to rain the day in between!). We took the ferry over---nice airplane seats, but more room---took an hour as we took the quick ride. The ride is nothing special; it just gets you there. Left at 11:15 am. We spent the day there--had plenty of time--and rode back on the 6:30 p.m. It is a very quaint colonial town and we just strolled around. Wear comfortable shoes--some of the cobblestone streets are quite "rustic" but most OK. Pay at one of the museums and you can get in to all for 50 cents per person.
As you leave the ship, right beside the car rental stations, there is a tour agency where you can get a map of the old town. You can walk to the old town in about 8 blocks---no fear at all. We were there on a Sunday.
One caution---be aware of the exchange rate. I think things are expensive there. As well prepared as I was for this trip, I didn't check on the Uruguay pesos---we had 1 wine, 1 coke, cheese and crackers at an outdoor cafe---nothing fancy and I was shocked to have it converted to $25 for American dollars. Thought we had gotten taken, but when checking the exchange rate, guess not so. Oh, well, live and learn.
It will cost you $3 pp to leave the country. When leaving, you will need to pay this amount in the terminal---where all the lines are. Then you get in line, show your tourist card, etc., etc.
I encourage you to go to www.tripadvisor.com to BuenosAires forum: Taking the Buquebus Ferry from BA to Uruguay. There is an excellent report as to how to get around to get the tickets, etc. It was really helpful to us. One thing to further explain. Perhaps they have changed things arount since June 2005 when she wrote it. As you enter the terminal, there is a schedule of trip on the upper right wall. There is also an information booth right there. Turn right just past the info booth and go through the restaurant and into another room. That is where you buy the tickets. You pick a number, it is displayed and you go to the clerk. They speak English. If you pre-order,, you can pick up the tickets at the info booth.