It's all relative, some places you do it nude and no one cares (female friends tell me anyways).
Since it's a gym you should probably stick with shorts though you can pull them up to ease the shorts tan line and make it blend a little more.
You should definately wear a lotion, a tanning oil would be best, low spf to allow a tan, while lowering the UV danger. It also helps prevent your skin from drying out which lowers chances to burn.
And yes bring a towel to whipe it down so you dont get your sweat/grease/lotion on it for the next person.
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