I've personally just cut the magic filter gels and stuck them to the front of the 14-42 or the inside of the 35mm port.
That being said, don't expect a red filter + blue filters on the lights to produce deep blues.. in fact, it's exactly the opposite.
To get those rich blues, you want to have your effective white balance set in camera somewhere around 4000k-4500k. But what you're doing by custom balancing for the ambient light, with or without a filter, is setting your white balance at 10000k+. This will give you 'natural' looking results for the foreground, but it's a disaster in terms of the water column IMO.
The best result you're going to get is a greyish, desaturated water column. Sometimes you end up with purple water column instead depending on how much the in-camera white balance + filter combination pushes towards magenta.
Red filters don't do anything magical -- they just attenuate the cool side of the color spectrum to compensate for the attenuation of the warm wavelengths by the water itself. In-camera white balance works slightly differently, boosting (applying gain) to the red channel of the signal being read off your sensor. But the end result of either method is to increase the relative strength of the red channel compared to the blue and green channels. Since this is a global adjustment, it inevitably impacts the blue water column also -- turning it a desaturated grey mush, or worse, purple.
I'll also second the part about Raja visibility. Expect 10-15 meters, with a lot of plankton in the water. If you're lucky, you can get 20, but it's equally possible to end up with 5-10m on some sites. It's highly variable (and can be greenish, too). Standard advice applies for wide angle -- get as close as possible, watch your light positioning to minimize illuminating particles.