If you have nothing better to do...
The elephant caves are probably worth a visit if you have a spare day and nothing better to do, but don't go there in lieu of visiting other things like museums or shows in town. There is a ferry that leaves from just behind the Gateway of India roughly every hour at a cost of Rs. 100 round trip. The trip takes about 1 hour each way, and while you are there, you will find that most of the original carvings are worn away or have been intentionally destroyed. There are still a few things to see, however, and if you are intersted in hiking up to the top of the island, there is a very large cannon and a good view of the surrounding area. The excursion will take all afternoon and is basically a tourist-trap, but it is not an unpleasant experience, and you can get some of the best carved elephants available in Mumbai at one of the many gift shops on the island.