Actually, I'm going to be controversial.
At my gym, I shower naked, walk around naked, put my undies on without doing a towel dance, etc. But do I "show off"? Of course not. Other people who are looking will see my dick, but no, this is not the time to show off.
In the male-only steam room I sit on my towel, again, naked... and people look at my dick, fine, but do I show off? No.
It's completely natural to be naked, but as soon as you start to think of naked as being time to flaunt yourself, you're demonstrating the exact behaviour that is prompting clubs like the Y to become more conservative in it's locker room layout.
There are some guys in my gym who do show off - and it's actually quite annoying. They are beautiful and they know it! Arrogant bastards! I admit I like looking, but I prefer to see guys just being naked and comfortable - not showing off, just being themselves.
Absolutely you should be comfortable naked in your locker room. You should not be showing off, though - there's a time and a place.