Pumpkins float and they do it very well; if you are ever shipwrecked on a stormy night and there are pumpkins available skip the lifeboat and grab a pumpkin because the lifeboat is going to sink first
OK, down to business:
Small to medium pumpkins are easiest to wrangle underwater but you need to make sure you cut a large enough hole in the top to get some lead in and the pumpkin must be big enough inside to hold the lead piece(s) you've chosen to use. There is a happy medium there that you'll just have to find. The pumpkins that are so big you could get your head in them need a LOT of lead to sink, you don't want to deal with that.
Since it's your first time I recommend cleaning the pumpkin out on the surface to make things easier. Do a buoyancy check with the pumpkin, take it to the water and put lead in it until it starts to sink. You don't want so much lead in it that carrying the pumpkin to the carving area resembles dragging an anchor but you don't want to fight it to get down either.
I don't know what your water temperatures are like but if you are carving in gloves you need tools that have fairly large handles. When carrying the tools underwater to the carving area you can use a mesh bag or just stab them into the inside of the pumpkin.
If you are using the pattern kits instead of just free-carving things get a little more involved but it's a lot of fun. You have to trace the pattern with a permanent marker then put an "x" in the parts that come out to avoid mistakes.
Here are some of my pictures from past carvings to give you an idea of what one looks like.
2006 (the pumpkin the guy in the red sweatshirt has is the size you want to avoid)
2007 (this can really get the attention of the fish)
Ber :lilbunny: