Funny story, yes, they float: I had a roughly 20 foot dive product shot I was working, glasses wedged in a nice little piece of Agariciidae encrusting bloom and thought, they look like they'll stay.  I head back up for air and when I look down, gone.  Crap!  So I swim around in the water for a few minutes. Nothing.  I think, well, I'll act like the floating sunglasses and go to the spot last seen and just float.  Well I floated, and floated and floated for roughly 200 yards away and out to sea in the fairly strong rip current that day.  I look up, scanning the surface one last time, and there they are. 

 

Rheos.  Yes, they really float.