No, but that's just my preference. They're waterproof & there is no reason not to wear them swimming or water sliding except that you're worried about it falling off. I am careful to keep them locked up, though, just like my wallet. I don't leave them out on my towel.
We snorkeled in the Epcot aquarium, and during the pre-briefing discussion, my little boy asked, "Do we wear our magic bands in the aquarium?" The tour guide said that while she was sure Disney would love for us to purchase items while snorkeling, there was nothing to buy down there so it wasn't necessary . She asked us not to swim with our bands, though, on the off-chance that they might fall off. I follow the same principle at the water parks, though I'm sure bands only very rarely fall off.
The photo people don't need you to have a band, though. Each photographer would hand out a mini-plastic card with a sturdy rubber band with the picture info on it to put around my wrist when we were there last July. So you can still upload the photo to your account without wearing the MB in the water park if you wish.
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