Ok, so where I live the No Gun signs don't carry the weight of the law. They can ask you to leave and if you don't its trespass, but aside from that there are no repercussions for being "caught" with a gun in those places. (This is for private businesses, not government or schools...).
We recently joined a gym that is "no gun" posted. Normally I would smile and go on my merry way at said business, but at a gym its a little tricky. I would be changing clothes, and so in all likelihood my handgun would be exposed at some point. They have family changing areas that are private rooms, but you're only allowed to use those if you actually have your kids with you.
What would you do? Leave it at home? In the car? (Not really comfortable with that....but it's an option.) Try to be discreet as possible and lock it in the lockers?
I do Pilates and yoga so actually leaving the gun on me isn't really an option, it would be uncomfortable as hell.