I've read about people just putting the units under their swim cap, no plastic bag. I don't think that much protection is necessary. They're intended to be used out in the rain, the company makes lots of marine units. I think the main reason why you'd put it under your swim cap rather than just wearing it on your wrist, is that there would be an awful lot of water resistance if it was on the wrist. Under a wetsuit it might be okay.
(disclaimer: I've never swum in mine. And I question whether the HRM would work in the water, since very heavy sweating is enough to make mine lose contact.)
Speed comes from what you put behind you. - Judi Ketteler