I do a pumpkin dive almost every year, so fun! Take a mesh bag like someone suggested, one you don't mind trashing and put some weight in the bag too. Cut the top off the pumpkin through the bag and then you can throw the weights into the pumpkin. And yeah don't do a huge pumpkin they are so hard to handle underwater because even once you fill it with water it still floats! Which is why you should put weights inside.
It won't explode (or implode), we don't normally carve until we get to the bottom, pumpkins are pretty robust!
It is a lot of fun, one of my favourite fall diving activities, I'm doing one this Sunday!!! I hope you enjoy it as much as I do