Easy solution - take your gym bag to the gym.

Inside that gym bag that has a few bottles of stuff you need for hydrating purposes is also your holstered carry piece and a half a dozen extra mags.

So, you doing elliptical today? Just drop your bag of hydrating stuff where you're stepping for the next 30 minutes and viewing the news or looking at somebody's ass. Just keep the bag on the inside isle if there's a lot of traffic at the time you're working out.

Gonna push some weights? Keep your bag in sight where ever you're working out. Closer to you is better.

Wanna take a shower there? Better lock the bag in a locker and hope it's there after you've finished.

Just some suggestions....