Last year I was at a spa weekend and we used the hot tub one afternoon. I was due to change my set that day so I just kept my 640G clipped to my swimsuit. I went for a treatment after the hot tub and stood talking to a friend after that. By the time I got back to my room, at least 2 hours must have passed since coming out of the tub and my BG had started rising. Even though I'd tried to keep my pump out of the hot water as much as possible, the heat had obviously affected the insulin.
I would advise you to remove the pump while in the tub and put the clip on your cannula.