I put a square of Opsite adhesive film, over it before going in the water. Works like a charm.
Then I just leave the tape on, because I take a dip nearly every day (hot tub).
One thing to watch though is that the tape sticks to the sensor far better than it sticks to my arm, so changing the tape is a tricky business if you don't want to pull the sensor off with it.
As an alternative you could try one of those arm band things that people use to hold their ipods when at the gym.