There are a few places you don't want to see people you know from work: in line at the pharmacy, in a doctor's waiting room. I'm confident we can also add "gym locker room" to that list. If there's a subtle way to get naked in front of someone you work with, it eludes me. When I go to the gym during work I always look for the most out-of-the-way locker, where I can avoid people I know or at least pretend like I don't see them while I'm changing. If you can't get away from it, reasonable deniability is the next best option.