My best experience in steam bath, is not in a gym, but a traditinal hamam in Rodos island Greece. You walk in in the buff and only use a cloth just for the spot where you sit on. That's it, no need to worry if someone pays to much attenion or not. Gym clubs' saunas suck, too "tight" for me. Take a vacation guys, catch the next plane to Rodos island and loose yourself! Note some days are men only, some days are women only.