Lots of great advice here. Like many others, I also say it's up to you. If you enjoy history, definitely don't miss Little Bighorn. Interestingly, tours will vary in emphasis, depending on which ranger gives the one you're on - don't miss their talks in the visitor center. You're guaranteed to learn something you didn't know, no matter who does the presentation. Devils Tower is amazing; if you haven't seen it, go. The KOA as a CG is decent enough, but you can't beat the scenery - it's right at the foot of the tower. Good spot for an overnight & visiting the tower.
As for leaving the park, the only flat way to leave is west entrance, and that may have been why you read about it. East entrance would be my second favorite, and going north from Cody to connect to I-90 is a good route, nothing steep, and pretty scenic.
