I skied for the first time with my pump on monday.
I wore mine in its nylon case on a a nylon navy style belt underneath all of my clothing. I was also concerned about it being warm, and providing it with a bit of padding should I wipeout. I also taped a safety loop in the tubing should the belt somehow come detached.
It seemec to work quite well. Everything stayed warm and worked well. No problems with high speed wipeouts here on New Englands glorious packed powder(ICE) conditions either.
The only other thing that I did was to raise the level of the low glucose alarm for the CGMS by 10 in order to give me a heads up a little sooner.
It all seemed to work out fine for me, but YMMV.