I’d rather chop off a limb than switch back to MDI when on my hols. I just clip mine to my bikini bottoms, it’s always worked fine for me, the only time it’s a bit of an issue is when we’re sailing and I sometimes catch it on ropes. At night I either clip it to my knickers or just let it roam free, it soon follows you when you turn over.
I disconnect when I go swimming but for longer lasting water activities like white water rafting I stick it in a little waterproof case – I use an Aquapac http://www.aquapac.net/ukstore/insulin-pump-case-154-1162-0.html