Since the infusion set needs to be changed every three days, it is considered a chatzitzah and must be removed prior to immersion. You can try to time it so that your immersion will be around the time you need to change the piece.
You should perform all your preparations for immersion with the infusion set and catheter still attached. Just before immersion, you should remove the entire piece and clean off any sticky residue on your body. After immersion, you should insert the new infusion set right away. This way, you will only have the insulin pump removed for a matter of minutes.
Regarding the sensor, in general, if something will be on your body for more than 30 days, in a case of need there is room to permit immersing with it in place. Since your sensor is not always in place for more than 30 days, it is difficult to permit immersion with it in place. Is it possible to remove it just for tevilah and immediately replace the same sensor? Or must a new one be inserted? If there are other factors that would warrant leniency to immerse with the sensor in place, please get back to us with more details.
Please feel free to get back to us with any further questions.
B’hatzlacha!