I often use a bandeau bra, smaller than my actual bra size around my waist and tuck the pump in there. It also allows me to wear dresses easily. I do have to go somewhere private to punch buttons, but it's worth it to me. I like dresses - especially in the hot summer. I also found the thigh or leg thing to not stay up if I am active.
I use the leg thing. It was huge for me so I cut it to the right diameter and sewed it. I put the leg thing on my ankle over one of those sports sweat-absorber-thingees.