One of the things to do on the Copacabana Beach is have a massage on the beach. For a few Reals, you can enjoy a professional massage in one of the most beautiful spots in the world. 100% recommended.
After the massage, you can go to one of the bars in the area, and have a Caipirinha (rum, sugar, lime and ice). Watch out, because the local liquor is quite strong. Do not drink too many caipirinhas!