I know this thread is a few days old, but here's my two cents.
I also prefer some air drying before getting dressed, for the same reasons Lurkette mentioned. However, I am uncomfortable walking around naked in the locker room. I bought a bath sheet to take to the gym with me. I dry off with it, but it's big enough that it's not too damp when I'm done. I wrap that around myself, and I'm usually good.
There are women in my gym who walk around in their undies, but I haven't seen anyone walking around naked. Naked in parts while changing, but never totally naked and walking around.