We're religious about wearing PFDs all the time. Our auto-inflatables are so small and comfortable that it's just second-nature, like a seat belt. But we left them home because we wanted to keep everything in carry-ons and did not want to check a bag.
The life jackets on our Sunsail charter were huge, uncomfortable ocean-going quality, with leg straps that were virtually impossible to put on. We went the whole week without wearing them.
Next time we will bring our own PFDs, even if we need to check a bag. Go to this page, print it out, and take it to the airport with you. It supplies proof that your inflatable PFDs and compressed cartridges can go onto the plane without being confiscated. Scroll to the part where it says: Small compressed gas cartridges (Up to 2 in life vests and 2 spares. The spares must accompany the life vests and presented as one unit)