I would do what I felt most comfortable with and not worry what others think. It's not like you are approaching other women while naked and making sexual advances. If the others in the locker room never walk around naked, I would probably throw on my panties before walking to the locker but I wouldn't worry about getting dressed while near the showers. To me I don't like getting dressed in a steamy spot where I can't dry off completely.
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"Always learn the rules so that you can break them properly." Dalai Lama
My Karma just ran over your Dogma.
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