I bought a shower sleeve from Rite Aid. It has an adjustable drawstring on both sides so you can adjust it to the tension comfy for you (although you have to make it a little tight so water cannot get in). Underneath, I wrap an ACE bandage around the PICC area just for extra protection so my dressing doesn't get wet. The sleeve goes from wrist to armpit, so it's a bit cumbersome, but I've had my PICC in since February and have never gotten it wet. I too tried the Saran Wrap - like you said - hard to wrap and it's very uncomfortable.
This is strictly for showering - no swimming!