I have two "exercise" guns. This morning, at the gym, I carried a Kel-Tec .32, with belt clip, clipped onto nylon running shorts. Tomorrow, when I run up the mountain (well, good sized hill), I will carry a Model 342 Titanium .38, with a Barami Hip Grip instead of a holster. They are both light enough that they don't pull my pants down when I run. With both systems, I don't need to wear a holster or a belt.
Neither one is my first choice for a sidearm, but they beat the heck out of harsh words and a stern look of disapproval. The amazing thing is, they both appear to be rust-proof. I wipe them down with a Kleenex before putting them away, but that's it. When I clean them, I look for rust, and have never found any. The grip screw on the Smith has gotten corroded a couple of times, so I just replaced it with a new one from True Value, for about a penny.