Since I didn't find an answer, I went DIY and rigged up something. Haven't tried it out underwater yet, I'll be doing that next week but I hope it will solve the question of what to do with the macro adapter during a dive.
I went down to my local Lowes with my PT-EP06 lens cover to see what might come close to fitting, hoping that I might find something in PVC that I would work with to build a holder. I knew I could always use wood, but that is hard to get waterproof and not have problems with, so PVC seemed like the way to go if I could find the right parts. I did find a few parts that seemed like they might fit in the sewer line department, but couldn't tell if the diameter would be right on them until I got them home and did some work on them. So I left the store with these:
I really only needed the plug (left most) and adapter (middle of photo), which were $2.11 and $3.93, so I'm out about $6 so far. Here are the parts numbers that I bought:
The adapter was too thin on the end, and too deep anyway, so I cut it off at a point where it enlarged a little. And once I got it cut off it turns out that this section of the adapter is a nice snug fit to an Olympus PMA-EP01 adapter! It wasn't too tight, and yet snug enough to hold the adapter without it falling off.
I probably didn't have the best tools for the job of cutting PVC, but found that I could do a decent job cutting it with a coping saw. Then I sanded the cut surface to smooth it out and give it a bit of a rounded edge where I cut it and screwed the plug into the adapter as far as it would go. I also drilled a couple of 1/4" holes that would allow me to mount it to my tray arm.
I had a can of the Krylon black
Fusion for Plastic spray paint left over from another project, so I decided to give it a nice coat of black matte finish. I think I had paid about $5.00 for it when I bought it a few years ago. I did a couple coats of paint and let it dry for a few days before having time to work on it any more.
My camera arms are perforated, so I can run screws through them securely, so I dug around my workbench and found a couple 1 1/2" x 1/4" stainless bolts and wing nuts and some matching washers. The hardware probably would have been about $5.00 depending on where you might buy it, I still had what I needed from another project that were left over. Using the bolts and wing nuts I attached it to my 6" arm and it fits just to where I can still adjust the arm. It would probably be better on a longer arm, which I'll probably buy later since I've been wanting to extend my arms out a little more, but for now this should work.
I've got some new lanyard material (200# braided line) so I can make a slightly longer lanyard and then I'll tie onto my camera or arm as a little insurance in case I happen to drop it while on a dive. So far it's almost a perfect perfect fit, a little snug, but not to where it's hard to get on and off. If it gets too loose in the future I'll probably just add some velcro and use that to help hold the adapter in place if it's needed.
I'm heading on a week long liveaboard on Saturday so I'll give it a good test and report back how it went. So far I'm pretty happy, and after spending less than $10 I'll be really happy if it works well.