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If it were me, I'd consider a keltec p32 or p380, with a clip, IWB or on a neck chain or similar. I'd be wary about leaving any firearm in a locker room. Are you assigned a locker that is "yours" so long as you are a member? If so, maybe you can mount a lockbox or safe inside it. Otherwise, make sure you use a damn good lock (not a master combination lock, too easily hacked).
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