I use a different gun/holster combo. It depends on your primary method of carry, but I don't know of any "primary" method that is easily transferred to the gym.
Gym carry is unique. You normally don't wear a belt. Also, your shorts may not have pockets. If you're wearing shorts (and most people do), ankle carry is out. Last, you don't always have a separate cover garment, unless you walk around with an open zip-up sweatshirt.
I use a Kel-Tec P32 in a
Thunderwear holster. It's not the fastest draw but it addresses all the above issues. I wear Under Armor Heat Gear compression shorts, followed by the Thunderwear, then covered by Champion shorts (which have pockets, so I can clip my Spyderco Endura to the pocket). My t-shirt is worn untucked. MP3 player goes on my armband so it's not in the way.
A lot of the issues with gym carry revolve around the gun. If you do any cardio work, you need a light gun. Otherwise, that heavy chunk of metal will bounce around a lot. That is why I use the P32. It's a light gun (9 oz) so it doesn't bounce at all.