I don't want to simply reiterate what others have said, but I'll try to add another viewpoint. I've been pumping for almost three years, by the way.
Sleeping - I generally sleep in ball shorts, so I just stick the pump in a pocket and go to sleep. I sleep on my belly, and am regularly lying on top of the pump, but it hasn't caused any problems. If I just sleep in my underwear, I let the pump lie wherever it wants, haha. Really though, I just lay the pump to the side, and fall asleep. I don't really move in my sleep, though, so this may not be possible for you.
Swimming/etc - I have the Minimed Paradigm 722 as well, and I just simply disconnect and place the cap/whatever you want to call it on. I have had the canula tear out before while swimming, however. I was getting out of a pool without the use of the ladder, and my stomach rubbed the lip of the pool wall, and it tore it out. I hadn't changed sites in 3-4 days at that point, though, so it was already loose.
Tubing - As a dude, my answer to this question probably isn't going to help you that much. I'm always wearing pants/shorts with pockets, so I just put the pump and extra tubing into my pocket. Works like a charm.
Sex - Again, my answer isn't going to help. I'm a proud carrier of my V card, so I cannot offer an opinion. I do think it would be fine if you just disconnected the pump, though. Someone said it took 2 seconds to disconnect a Minimed. I bet it takes less than that.
Insulin - Like Gina mentioned, the only real problem here is the chance of getting a bad site. I have never heard of an insulin pump releasing the wrong amount of insulin (or rather, different than what the user told it to release).
Looks like I reiterated what everyone else said. Oh well. Hope it helps!