As with many other natural wonders in Puerto Rico, there isn't a clearly defined marker. Normally, to find Gozalandia, you would first have to visit it with a local, because getting directions there can be complicated. Lately, the locals have turned it into a bit more of an accessible area (and there are plans to turn the waterfalls into an ecoresort). Parking is cheap, but get there early to avoid crowds.
There are several muddy paths leading to two beautiful waterfalls. I recommend going on weekdays in the morning. Forget going on weekends, as it will be way too crowded to enjoy it peacefully.
If you go during the wet season (August to October), be prepared to just go barefoot. Shoes lose grip, you slide everywhere, and you eventually take them off anyways.
I always start by hiking to the top waterfall first, as this one usually has fewer people around it. There's a rope swing for the adventurous and a nice cool water pool for the rest of us. This is definitely a beautiful place to relax in nature.
UPDATE (2014): You can now park much closer to the waterfalls for a small fee. This area was supposed to be turned into a natural reserve, but I don't believe that is going to happen yet. Instead, the owners have made it much more accessible by car. This also means it gets more crowded, so plan accordingly