Hi Nicole, as I've mentioned else where I am always in women's apparel at the gym: sports bra, woman's racerback tank top, either an athletic skirt or capri tights, hair in a high ponytail with a headband, earrings and toenail polish (always) and fingernail polish (often). I recently retired all of my guy's gym shorts. The athletic club I belong to has a lot of 40+ guys in the locker room, many of whom I'm friendly with, a few of whom I know outside the gym. Frankly it took me a while to "transition" to CDing at the gym but finally i just said f*** it, this is what I like to wear when I work out. I'm still a bit gunshy about my bra; usually I have on one when I arrive and if I'm feeling shy about it I'll go change shirts in the bathroom stall. Other times I just change in the locker room and whoever wants to look at my bra is free to do so. (Wearing a woman's tank means it's usually obvious I've got a bra on underneath, as well.)
I've definitely gotten plenty of startled looks and sidelong glares. I've never had a negative comment and I've had a couple of compliments (from women, natch). The front desk is always staffed with young women and with a couple of exceptions they are very nice and friendly and greet me by name (I'm usually wearing a skirt when I arrive as well).
I'm also a swimmer -- I wear jammers instead of a speedo, at least until I lose 8 lbs. I have seriously considered going to a woman's 1-piece racing suit, but I haven't gotten up the nerve yet.
I know I am known as "that guy who works out in a skirt," and that's fine with me. Along with the salon and the therapist's office, the gym is one of those places where I feel free to be completely me.
My advice is be comfortable and confident and no one is really going to care. Also: take your makeup off, at least your mascara, before you get to the gym. I've forgotten to do that a couple of times and gotten out of the hot tub with serious raccoon eyes.
Enjoy your gym time en femme!

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Oh yeah, one other thing to mention: like a lot of upscale clubs, mine has a couple of "family changing rooms" that have an individual shower, a sink and toilet, and a door that locks. I often go in there after I work out to shower, shave my legs, re-apply makeup, and finish getting dressed.