I’m not sure about specific etiquette rules, but what I’m doing for my classes at the gym (Aqua, Cycle, Mat Pilates, and Zumba) is to get myself ready at home and them put on anything else I might need to cover things (for weather, mainly). For example, I’ll have my swimsuit on and then put on a top and shorts or jeans over it. For Aqua I go to the locker room and take off the outerwear, put what I don’t need for my shower after class in my locker, grab my shower bag and head to the pool. When class is done I hang out in the pool area a bit to allow the shower rush to subside. When I go in, I get my clothes easily accessible in my bag and then put my towel on top. Into the shower and close the curtain before taking off my suit, showering, and then drying off and getting dressed in the shower behind the curtain. Since I’ve had my BA, I’m just wrapping the towel over my top side and finishing that in the locker room where it is less humid.
For the other classes I just go to the class and avoid the locker room and showers most of the time. If I need to shower there because I’ve got something else to do after class and can’t easily get home to shower, I do the same shower routine as the aqua class.
Obviously, just going about your business and not “taking in the sights” is part of this. Though I have gotten to know several of the other women and I do have chats with them in the locker room. Several of them have specifically told me that they are fine with me there – “you’re a woman, you belong here”. They definitely know that I’m trans. They are also mostly in my age range (“seniors”…).
I also think attitude helps. Though I’m trying to minimize my impact, I am going in with the attitude that I belong, I’m confident, and I’m there to take care of my business. I think that goes a long way in our acceptance in any environment.
I’m not sure if that covers what you were asking, but it’s been my experience that it’s much less an issue than what my mind was telling me before I started going to the club. Note that I live in Minnesota where we have a “use the facilities appropriate for your needs” law. Before I joined the club I verified that they would support my use of the women’s facilities. The one time a front-desk staff member said anything to me due to someone else saying that I was in the women’s locker and they weren’t sure what to tell that other member I just said to tell them that there was another woman (me) in the locker room.