I've done Paria twice now. A few suggestions: First, make sure you go in through Wire Pass and not Buckskin itself. It's a short slot, but it's quite an experience. Second, call the Paria ranger station a few days before you go to get the skinny on current conditions. I didn't need a rope either time through there, though there were a couple of 6-8' dropoffs in Wire Pass. The wet part of Buckskin was fairly dry for me, so there was no swimming. That changes every year, though, so check with the rangers. Third, don't skip Wrather Arch. It was a highlight of the hike.
As for water, on my first trip, the river was so silty that you couldn't drink from it, so we only drank spring water. The second time through, the river was crystal clear, and we just filtered from the river when the springs were far apart. But there are several springs along the way, and when we could get spring water, we just drank the spring water untreated. Also, the last 10 or so (this is a guesstimate) miles of the hike are away from the river and waterless. You'll want to have a capacity of 3-4 L or so.
For shelter, you could get rain in May, so bring a tarp or something. I can't comment on bugs since I've only been through there in April and October when we didn't have any bugs at all.
Wear the lightest, best-drained shoes you can manage. You will cross the river literally dozens of times, and you will be walking in the stream for a good chunk of your hike. I wore heavy, waterproof boots on both of my trips and was carrying about 2 pounds of water in each boot. Not fun.
You're in for a treat--I think Paria is the best backpacking trip anywhere. Have a blast.