I had taken some shots in Cozumel on Punta Dalila at about (I think) 50 ft or so. Due to some tray issues, I had taken the strobe off my camera before the dive. I used a tiny square from a Blue Water Magic Filter taped to the front of my camera lens, then put the camera in the housing. Now, the colors were great, but the comments about light loss are spot on. I used this filter along with manual white balance at depth, and from there the biggest challenge was that my fully automatic point and shoot was shooting at a very slow shutter speed. I was able to stablilize enough for acceptable shots, but they aren't razor sharp. Unfortunately this will probably be your issue too, unless you are at 30 ft or shallower. At those depths, you may find you don't need any filter at all.
I have since upgraded to a Canon S90 that gives me full manual control, and I'm certain with the ability to force the camera into different aperture/shutter speed combos, I can now get some really good natural light shots. Undecided if the Magic Filter would still get used, because this camera also shoots RAW, which kind of makes white balance a moot point. You can rebalance in post processing with just a click or two. Easier than remembering to manually white balance every time you change depth by more than a couple feet.
If you don't like the idea of post processing to white balance correct, or your camera can't do RAW (most basic p&s can't), then you might think about the AutoMagic Filter. The post process rebalance doesn't work as well (you can do it, but not to as good a result) with cameras that only output JPEG, so with those you are better off to try to get it closer to correct to start with. This is where a filter might make sense, but it does bring in a whole different set of challenges.
If your camera gives you no white balance control, or you don't want to bother to mess with it, consider the AutoMagic Filter. It's like the Blue Water Magic Filter, but somehow works better with your camera's automatic white balancing features. Does your camera allow you to pick different preset white balance settings (like daylight, cloudy, underwater?), or at least allow you to manually white balance? My Canon SD600 was so automatic to be frustrating, but for some odd reason it gave me control over white balance. Go figure. Using these might allow you to avoid the need for red filtration too.
Here's a link to my pics from my recent cozumel trip. All photos were taken by my Canon SD600. The El Presidente Shore Dive were all natural light, no filter, but very shallow depth, and I had to color correct somewhat in Lightroom. Everything else until you get to Punta Dalila was with a strobe, and Punta Dalila was with the filter and natural light like I describe. All photos got some post processing, so for the sake of honesty, none of them came out of the camera with stunning color. It's a lot to ask of a camera that you can't control, for sure!
YouTube - Diving in Cozumel, Mexico, Summer 2010
To anyone else viewing these.....please be kind. I've been into photography for a long long time, but only underwater for a few weeks now. This was my first ocean photoshoot (I've done some in the local lakes), with a camera that I had little control over, and was using a strobe for the first time. All in all, not too bad, but definitely room to grow.
Hope this info helps the OP! By the way, the Magic filters are not cheap, be forewarned. But my limited experience with them was good. They come in a 2"x2" sheet that you can cut, so you can really make that $$ investment go a long way. I just cut a piece big enough to cover the opening when the camera is on. Use a couple small pieces of scotch tape on the outer edges to keep it pinned to the lens bezel, and pop it in the housing. As long as you handle it carefully, it can be reused. Just don't fingerprint them, or get them wet. I tape mine to the inside of my housing where it isn't in the way of any buttons when I'm not using it.
