Hi Brownowl,
Wow, you are in for the holiday of a life time, your main suitcase leaves you at Mombassa Airport and goes to the hotel for the 2nd part of the holiday, you will therefore need to take in your holdall enough clothing/supplies etc for your stay at the lodge, basically a change of clothing when you arrive at the lodge, its your first chance to change clothing since you depart London, perhaps something else for the evening, then 2 full days worth of clothes and then something to travel to Mombass in on the Sunday.
In the evenings at the Lodge you can wear what you feel comfortable in, its not dressy, however in Mombassa there is a dress code (of sorts) for the Restaurant, if you search the forum you will find lots of other posts regarding this Holiday.
Happy to provide any other answers that you want, I went dolphin watching when in Mombassa and had a great time.
Have a great time (silly me, of course you will)
Martin