"They want to swim on Friday."
Translation:Maen nhw eisiau nofio dydd Gwener.
"Dydd" is the base word which undergoes soft mutation to "ddydd". Here "Ddydd Gwener" is acting an an adverb of time so it that's why it has mutated here.
In speech the difference is so marginal I would encourage people to stick to 'dydd' all the time.
In English the variants 'I want to swim Friday' and 'I want to swim on Friday' exist and there seems no reason why not to use the same in Welsh.