Whale sharks in early March

Whale watching season in Mexico is between December and April, so I think you’re on time!!

Yeah. Vanessa is right. Is during winter in until the end of march. I went there a year ago and did a tour with these guys I found TripAdvisor. (I like to plan ahead so I look for your before I get there if I feel like I'll enjoy the touristic activity) if it's done by locals its way better, so go ahead. Is pretty cool, at times kind of scary but awesome none the less.

https://www.tripadvisor.com/Attraction_Review-g150771-d2025967-Reviews-Fun_Baja_Whale_Watching-La_Paz_Baja_California.html

OP was asking about whale sharks, not whales, but it looks like they will be around then:
"From early winter until late spring the whale sharks can be found feeding in the rich waters of the Sea of Cortez and in the Bay of La Paz in Baja California Sur. The gentle giants of the sea are the largest fish in the world and each season return to the waters close to the city of La Paz. Seeing these ocean behemoths in their natural environment or swimming close to these fish can be an exciting outing for young and old. Island tour boats that visit the Isla Espiritu Santos or the sea lion colony at Los Islotes often close the trip with a whale shark encounter. "
Excerpted from a 2015 Baja Insider article.

And Google Maps shows several whale shark tour operators in and around La Paz.

I was in BCS at the end of January, mostly to pet gray whales, but I did go out to swim with the whale sharks in the harbor in LaPaz.

You can just go over to the dock on the malecon. There are usually pangas and drivers/guides there. Also usually some touts across the street who may help you find a panga. Reasonable prices. The whale sharks are often right in the off shore area close by. There was a particularly helpful female snorkel guide who took us out and really helped people when in the water, something a driver really can't do. If you can find her, do arrange a trip with her. She also filmed video of everyone, and including some footage of her own of the whale sharks, which she sold copies of for a very inexpensive price after the trip.

Do note that snorkeling with the whale sharks involves intensive exercise. The panga driver tries to spot the whale shark and put the boat somewhat in front of the whale shark. You jump over the side in your gear and try to keep up with the whale shark as it swims. Since they can swim fairly rapidly, you need to be in shape to keep up or you just get a glimpse of the tail. I don't think you get to see much at all if you stay in the boat as a spectator.

This site (http://www.funbaja.com/whale-shark-expedition.html) says: "Each year between October and February, we have unique visitors that gather into the bay of La Paz to feed on plankton - whale sharks!"

Insofar as gray whales, there may still be a few around in Magdalena Bay at Puerto Aldolfo Lopez Mateos, a few hours drive from LaPaz, in March. (Try these fishermen/guides:
https://www.facebook.com/ultballenas/ )

Sorry. You're right. I just saw "whale" and thought about simple whales.

When I was there they did talk about whale sharks but I did not get to see one. Maybe that's another reason why the shark part when by me.

No big difference (LOL).
One is a mammal and the other is a fish. Only that.

I am from La Paz. Yes you can either watch the grey whales in Magdalena bay or swim with the the whale sharks in the bay here. As a matter of fact I saw about 5 boats today in the spot where the whale sharks usually are. So....... yes they are around.

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