You put your street gear in the locker and go work out. When you are dine you return to the locker and get naked, stowing your sweaty gym gear in your gym bag/back pack. I have showered in gyms 4 to 7 days a week for more than ten years and owing to work travel I go to lots of gyms. I have seen lots of guys skip the shower but I have never seen one put on a swim suit to shower in.
I've been in and around the military for 25 years and I've used gym showers for more than 30. Despite this, I still have my own questions about the unwritten etiquette of showering in gym locker rooms.
I have never been overly comfortable showering in a group setting. We were required to take group showers in gym class in middle school and high school. I found it kind of uncomfortable. I couldn’t believe how many of my classmates seemed to have zero issues with baring it all. Some of the girls even chose to stand around chatting with one-another completely buck naked, and many would do their hair and makeup standing there naked. That was never me.