We seem to recall this subject being covered in the early days of the gay web, but it deserves mention again, and perhaps with some updates. Full disclosure: we currently go to the gayest gym on the planet, so this advice may only pertain for you at a sex club, assuming your gym shower area is not the virtual sex club that ours is.
Rule #1: No unsolicited touching
This goes double if you're at a gym that's majority hetero, or where the steam room is shared by both gay and straight men (something we can only barely remember). If someone makes eyes at you and starts stroking themselves and lays it all out there for you to join in, fine. Feel them up all over. Otherwise, keep your hands to yourself and no one will get hurt, or storm off all offended. If someone touches you and you're not digging it, gently brush them aside. If they persist, punch them in the dick (JK!).