What adaptations would exist to live in a dense liquid?

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I was thinking, assuming an organism could get oxygen, how would an organism have to adapt to swimming through a very dense liquid, like mercury? If they were made of mostly air and organic fluid like fish already are, they'd have a lot of trouble diving below the surface. But, if say they had bones composed of a dense metal like iron to help them control their level in the water, they would need a lot of energy on a daily basis.