Leave it in the car. Gym lockers are more insecure than your average locked car in a gym parking lot.

I do not know what you do in a gym, but most folk seem to drift from machine to machine and waste time. Probably can pack an N-frame OWB under a sweat shirt that sees no actual sweat.

For my own part, I am a power/oly weight lifter from way back. Packing heat is just not practical when performing those lifts. Most I could manage would be a folding knife with clip inside a front pocket. Even a P-32 would be impractical.

OTOH, packing while running or cycling is a problem I have solved.