I am very familiar with Wellesley Island State Park, growing up we spent a great deal of time on Sunset Island. It is located in the Canadian channel about a mile from the bridge. That certainly is gorgeous country. Alexandria Bay and Clayton have alot to offer too. Make sure you check out the Antique Boat museum in Clayton. I really miss the area, enjoy.
There are several really nice State Parks farther north too. Waddington, Coles Creek is one of the best on the St. Lawrence. It is about an hour north on Route 37, Called the Seaway trail.