You don't feel it, but my first time, i thought i could, but its just because you're not used to it.
It depends, after swimming, you may want to, but it's not necessary. If i go swimming, i put a clean one in before and then when I'm done. The string might be wet obviously, but the tampon itself wont be, hence why you're able to go swimming in the first place.
My periods are light, so I change mine every 6 hrs or so, just to be clean and fresh so to speak. On some brands, they say when the string becomes blood tinged, but obviously depending on how heavy your periods are, and the type of tampon you use, the timing of this depends. I'd change it every 5-6 hours, that way you're on the safe side I'd say.
After a while it becomes second nature and you don't notice it at all.
Hope that helps. Have a great holiday xxx