I am considering attending the Holi Festival in 2014 for the incredible photographic offering of color. If you are not familiar with it please follow the link below.
The big question? How do we protect our camera without a bulky housing?
You can use a combination of some sort of rain cover and a protective filter. When I last went to Niagara Falls, I used this rain sleeve from Optech and a basic UV filter. Camera and lens stayed dry on the Maid of the Mist, so I think something like this should suffice for Holi as well.
It is insanely messy so go with a bottle of water hanging off you somewhere and plenty of small microfiber cloths in small ziplocks - treat the microfiber in an almost disposable way - because you'll be doing lots of cleaning and wiping of the front (UV) filter.