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Unfortunately, our gym's parking lot is poorly lit. I take my stuff in with me.

I typically carry a gym bag. I don't bother with a purse, but keep my wallet in my gym bag, along with anything I think I may need while there. If I'm taking one of the classes, I'll usually bring my bag with me and set it off to the side. Otherwise, I use the lockers, but with my own lock.

I wouldn't want to leave my gun in my vehicle. I like having it while walking through the parking lot.

As for changing, I use a dressing stall. If one isn't available, I'll use a RR or shower stall. I don't want to alert someone that I have a weapon and that it's going into a locker, whether it's legal to do so or not.