You need to learn to manage and adjust your insulin well before you begin an activity - that’s the only way to avoid lows. If you find yourself going low no matter what, you need to either allow yourself some sort of carbs during your workout, or do something with less intensity.
I skate wearing my sensor all the time and it’s not a problem in terms of the sensor, however I usually do not bother with my receiver - the information it gives me is so far behind what is actually happening with my BG that it’s really not helpful unless I know I want to look at the trend later on to analyze how well I was able to manage. I definitely do not and could not rely on the system in “real time” - during any intense activity I stop and test every 15-20 minutes just to double check that my BG is stable.