Unless I'm missing something, any form of carry is going to be an issue at the gym if you have to change clothes. Just take your bag into a stall and put your rig on--whatever it is.
The other choices are going to be tuckable IWB (unless 'casual' means untucked shirts), belly band, shoulder rig, or ankle. The benefits and hazards have been talked into the ground all over the net, so you're at the point of decision based on figuring out what might work for YOU.
For whatever it's worth: I've gone through a long thought process trying to find what will work best for me. I''m currently working with a 3" .45/1911 and trying out a Null SMZ under a tucked shirt. It works surprisingly well under the right shirts, but I think I'm going to try a through-the-front crossdraw setup. These are methods which won't meet with universal approval, and there are valid concerns and cautions about them. But concealment is an art of compromise and in the end one has to make one's own judgment about what's acceptable and what isn't.
For my build the strong-side tuckable IWB 1-3:00 doesn't seem likely to conceal well enough, and I spend enough time in a car that I'm not keen on an untucking draw (in any case I'd expect to have to do a lot of practice to make the draw reliable--there's a persuasive video on youtube about this though). But I'm still considering these as possibles.
One thing I've noticed about people figuring this issue out--you have to get real about how good your judgment is about concealment. Some people who have a lot of visual training will actually be too sensitive to small asymmetries and bulges that most people won't notice. Other people are blind as bats and just don't do their homework for things like printing straps or getting feedback on the view from different angles in different lighting, and they walk out the door and get made right away.