Bullfeathers 
Much depends on what you're shooting WITH. As mentioned, if you are going to shoot in RAW mode, then set AUTO and fix it later in the software. But if not, then you need to figure out the right WB setting or you lose enough quality to have major problems with the images which you can't correct post-shot.
If shooting with a flash, use "auto" - leave it alone, and use your flash. That's the "right" setting for a flash macro shot (and all flash shots are, more or less, macroish - a few feet away or less)
If you're shooting available light, here's the trick I use - it WORKS. This is also the way I've found to exploit the 5050's movie mode and not have to play with color correction later.
Take with you something that is either white or neutral gray. I get lucky - the palm of my dive glove is neutral gray.
Get to the depth you're going to shoot at. Select "manual" white balance, point at the palm of the glove so it fills the entire frame, and click the "ok".
Your white balance is now adjusted for the depth you are at.
Just don't forget that you have to do it again if you change depth significantly! More than 5-10' of depth change will make your pictures WAY off-balance so you have to do it again.
This has been VERY successful down to 120-130' or so for me, shooting available light. For flash, I put the camera back on "auto". Be aware that available light shooting gets VERY difficult as you go deeper due to camera shake issues and very slow shutter speeds, plus the camera stepping up the ISO (if you left that on "auto") does damage to your image quality due to sensor noise. Olympus has a decent noise reduction function that you can engage to try to alleviate that with some success, but the shake issue can really only be addressed by finding something to brace the camera against - which of course doesn't work underwater in a lot of environments, and doesn't work at all if you're shooting aquatic life since it likes to move 
You can also, as noted, shoot in raw mode if you have the software that can read it AND the storage space to do so on your CF or xD card.