Like Argonauts. You know, only octopus style. He was wrong, though. These octopuses actually trap air under their shells and use them to achieve a bouyancy that holds them under the surface of the water.
Whenever I got my paws on a helium balloon as I child I would try my best to turn it into a little zephyr. I'd tie whatever I could to the bottom as a counter weight to the helium. If I got it right, the balloon would just hang in the air, perfectly still. I would poke it to propel it around, but I didn't need to hang onto it. It was like taking a pet for a walk, except, you know, much sadder.
That's pretty much what the Argonauta argo are doing. By achieving perfect bouyancy, they can jet around the ocean with little effort. Read more here, look at some pictures here, and check out this vid: