Craig, agree with Reyer on most points. Here's a response I sent to another person with a P9.
I've got the DSC-P5 and have been using it for a year, 2000 pictures later. Deja, I respect you very much but your advice about the filter could not be more wrong. Every person that has tried the filter on the a Sony digital still camera was very disappointed with the results. One thing nice about digital is instant feedback, try the filter for yourself. The shift in colors by the red filter is nice but less light will hurt you more. IMHO.
The settings I use underwater are as follows. Flash forced On, Low power setting (not what you would guess, any other setting is just to hot), Wide angle (always, forget the zoom underwater), Macro Mode On (if it's out of range of the macro it's to far away), ASA setting I've been using Auto but really think 200 or 400 is the right answer, and everything else Auto. Resist the urge to play with the sharpness, it will increase the contrast, but if overdone will kill the picture.
On the battery life, Keep the Power Save On, I was able to get two dives on one battery but it was a challenge. I would switch on the camera, take a picture and turn it back off. It will charge back up pretty quickly, maybe a hour or two. Be very, very carefull about sealing the case, two big issues, the shape of the o-ring (needs to be very clean, remember one hair or spec of sand and your camera's toast), and the humidity when you seal it. You want very dry air in your camera case anything else and it will fog. A carefull cleaning of the inside of the case will help this also. If it does fog you will not get any pictures till you dry it.
The twilight setting will only slow the shutter speed down way to much and you will get major motion blur. Avoid that setting unless you want artistic shots.
Have you thought about how you are going to attach the camera. It is slightly negative underwater, I have a nightmare of watching my camera dissappearing into the deep blue. What I did was get a stainless steel clip that they use on dog chains. I threaded the lanyard that comes with the case though the clip. I clip that to my BCD strap. The lanyard has a slide on it, I slide it near the camera when I'm getting in the water. That keeps the camera near my right shoulder with no room to flop around. Once at depth, I slide the slide away from the camera and that give me enough slake to hold the camera at arm's length. When not in use, slip it under a BC strap. Getting back on the boat slide the slide near the camera and you'll be ready for those 10' swells.
The other advice is learn everything you can about the camera before you go underwater. You don't want to be going up the learning curve of the camera while swimming in rip current with hammerheads. Shot anything that moves and alot of stuff that doesn't, right now. Remember it's digital and pictures are free. Learn how to switch Macro Off and On quickly. The other feature that is very handy, last picture preview. If your looking at the last picture, hit the zoom button and you can zoom in to check the focus. If not in focus shoot another.
What are you doing for storage?
Alot of information, some may apply some may not. There are samples in my galleries. All were shot with the P5 and internal strobe. I truely love my little Sony and I hope you are sucessfull with yours. Please report back on how it went. Any other questions feel free to e-mail me.
One other thing to try, put that orange filter over the light and use the internal flash for most of the light. This should help alot in getting the reds back that are out of range of the internal flash.
Best of luck and we want to see the results.