I GET TO travel a lot through my work, but I’m very rarely able to collapse completely, as I have to keep fit. The most relaxed I’ve been recently was in Mexico. I’d been out in LA, and was about to start touring in Japan, but managed to squeeze in 10 days’ holiday in Baja California. It was a beautiful place. The only thing that stopped me totally chilling out was the knowledge that I was about to start an incredibly gruelling tour, and at some point every day I had to force myself into the gym or onto the yoga mat.

I can’t afford to injure myself, so there are certain no-go areas, like snowboarding and mountain-climbing. I’ve been to Japan four times, and each time wanted to climb Mount Fuji. The last time, when I was there with Highland Fling, the whole company was planning a trip. Then it rained, and the production company got extremely nervous about their dancers clambering up a slippery, wet mountain for nine hours. They politely reminded us that we were contracted not to take risks.

My ideal holiday would be in the Caribbean, partly because it’s one of the most beautiful, rejuvenating places in the world, and partly because it’s easy to keep fit without even realising it. I love sailing, diving and water-skiing in such incredibly clear water. To be surrounded by beautiful islands is pure pleasure, and it’s so hot that I can eat great food and drink cocktails, then sweat it all off.

One of the best holidays I’ve ever had was sailing in the British Virgin Islands with my father and brother. We lived like water gypsies, sailing from island to island with no particular plans. In the mornings, we’d wake up, dive overboard and swim, then jump back on the boat and head somewhere to eat. That was the pattern for the rest of the day, and it felt incredibly liberating. The freedom you have when you’re only reliant on the wind is phenomenal. The whole trip made me feel happy just to be alive.

We’ve always been a sailing family. When I was growing up, my father kept a boat at Hamble, near Southampton. He was a hilarious sailor, constantly getting stranded on sandbanks, but his attitude was eternally optimistic.

His particular brand of sailing allowed us to learn to love it from a very young age, without worrying too much about what might go wrong, so it came naturally, which was fantastic.

In recent years, my dad has realised that it is possible to have a yacht somewhere warm and calm, so the sailing holidays have improved markedly. At the moment, he’s trying to persuade my mother to go and live with him in Croatia for a while. As she’s the one member of the family who would rather be on land, looking out to sea with a drink in her hand, she has yet to be convinced.

My real passion now is for scuba-diving, which I find the most relaxing thing you can possibly do. It is so peaceful, floating in an underwater world where all you have to concentrate on is breathing.

I’d love to be able to dive with my wife, but she has a shark phobia and finds it completely traumatic. I once managed to persuade her to come on a dive in Miami, after assuring her that the locals had been diving in this spot for years, and nobody had ever seen a shark. We went down with a local instructor, and I thought Gaby was finding the whole experience as romantic as I was, because she took hold of my hand and kept squeezing it tightly.

When we got up to the surface, she ripped the mask off her face and yelled: “Did you see that?” I started muttering something about how beautiful it was in the water, but she screamed: “It wasn’t beautiful, there was a bloody great shark!” When I turned to the instructor, expecting him to reassure her that there was no shark, I realised he was completely white and speechless with fear.

Before we were married, we had a memorable holiday with Gaby’s late father at Sandy Lane in Barbados. For a start, it was the most luxurious place I’ve ever stayed in, but what made it particularly special was that it was where I asked my father-in-law if I could marry his daughter. He was so delighted that we both got totally smashed and ended up collapsing in the shrubbery of this amazingly opulent hotel.

I proposed on the way back, 35,000ft up, over the loudspeaker system on the aircraft. I’d written a message for the captain to read out on my behalf. Gaby said yes and, a little while afterwards, the captain told the rest of the plane she’d accepted. There was so much cheering through the whole plane — it was a great start to married life.

Will Kemp talked to Lizzie Enfield