A bit of background data: I'm 31, 170cm (5.5ft-ish), 60kg (130 pounds-ish/9.4 stones), haven't had children, was a tampon user beforehand, have sex regularly, and exercise regularly 3 times/week, sometimes more (mostly swimming but also other sports). I'm on the pill, so don't bleed very heavily.
My vagina is relatively small, so I knew from the start I'd need a smaller cup. I started out with a Me Luna S classic (my local drug store carries it). I quickly found out it was a bit too soft for me due to my fairly well developed pelvic muscles (the swimming, I suppose). I had issues getting it to pop open. So I ordered the Me Luna S Sport, which is more firm and it works very well. I may at some point try a Me Luna S Sport Shorty on the first two days of my period when my cervix is lower than on the later days, but overall I'm comfortable with the size of the Me Luna S. Since I don't bleed much, I can leave the cup in for 8-12 hours on all days (meaning I pop it in/change it before I go to work and then don't have to think about it all day - a dream!), and I don't want to sacrifice that comfort by getting a smaller cup.
I also had leakage issues initially, and I think at the beginning I might have been pushing the cup too far in sometimes, catching the cervix (I figured this out thanks to you guys!). My workaround to avoid spotting is the following: I actually don't push the cup very high up when I put it in. I leave the bottom of it (maybe about 5mm - 4in) sticking out and let my pelvic muscles do the trick. They will move the cup up into the right position. This process takes max. 15-20 minutes from inserting the cup to it having positioned it correctly, and I haven't had leakage since I've figured this out.
Swimming (or other sports like going to the gym, tae-bo, yoga, hiking...) haven't been a problem at all so far. In fact, I find swimming with the cup much nicer than swimming with a tampon. It doesn't soak up pool water, which seems more hygienic to me.
These are some answers to the questions issues I had when I started out and I hope they're helpful to other newbies :)