I have been to the Blue Lagoon but not as a pumper.
I am now an Animas pumper and I have been to various spas with it ... but not Blue Lagoon.
When spa-ing and jumping in and out of water (swimming pools, jacuzis, etc.), I take my pump off (and enjoy the freedom) even though it is supposed to be waterproof. During these days (or half days), I return to my pump every hour and manually give myself a bolus of my hourly basal. I have found this works well and avoids the worry of whether my pump is really waterproof and where I would attach it to my swim suit if it was.
Regardless, if Medtronic provide free spare holiday pumps (Animas do), I would recommend taking them up on this offer as you never know when it will go wrong and you don't want to spend your holiday worrying about it. But remember to write down your settings as the spare will be set to the defaults.