I too was suprised to find all these problems with the sensor coming off - I rarely get any issues with the sensor staying firmly in place for the 2 weeks. I exercise a lot to (I work in a gym). I always make sure my arm is clean & dry and I wipe it with an alcohol pad about a minute before I...
I would suggest that you find a gym with a Personal Trainer that specialises in diabetes. Join it & get personal training with that person. Not only will you gain weight & muscle with a diet and exercise routine that is tailored to your needs but that person will be able to help motivate you...
If I am going to do any long period of physical exertion, I adjust my pump to reduce the amount of insulin I get by about 50% or so for the duration. Without a pump an option is to sip a diluted energy drink (Yes - one with real sugar) or orange squash sparingly...