You'll need to waterproof (oilproof?) the speaker, it won't work submerged. also, the screen can be damaged by liquids. And make sure it's TIGHT! Don't want leakage.
I was just thinking. Incase it leaked, then you could drink it, and it wouldn't be totally wasted. What would I have to do to the screen to make it ok if oil was poured into the DMG?
Since when did the DMG produce any heat worth discussing? None of mine get very hot at all, and it certainly won't be melting itself. If you must cool it for some reason, do it passively.
Also, Water is not conductive. Impurities are. I have played GBA in the shower. No issues.
Normal tap water is usually pretty conductive, but not hugely so. De-ionized water made for watercooling PCs is for all practical purposes nonconductive.