I've never played at a gym myself, but I've been cruised plenty of times and have seen other guys messing around (just oral and groping, never saw any anal). From what I can tell, the steam room (and area right in front of the steam room) is the unofficial play area, though that might not be the case everywhere.
Generally, guys wanting to just work out will only be in the locker room to change, and only be naked in order to shower. So if you cruise the locker room and showers, you're more likely to encounter a guy just there to work out, and therefore more likely to get reported to management. You can usually tell the guys just wanting to work out, because they seem to be in a hurry to get in and get out, with the guys looking for sex just kind of loitering.
Guys who want to play will usually hang out in the steam room, or right in front of it (however, some guys cruise the locker room, and go to the steam room to play). Whether in the steam room or the locker room, guys wanting to play will usually be hanging out naked, or wearing a towel but constantly adjusting it (really just doing it to expose themselves, though this isn't always obvious right off the bat), or sitting down with their cock in plain sight. Whether clothed, in a towel, or naked, if a guy touches his cock (other than adjusting himself after getting dressed), he is probably looking to play. And it's almost a sure thing, that anyone lingering around any area of the gym (even out in the workout area) is looking for sex.
Once you think you've found a guy who wants to play, either look at him and nod your head towards the steam room, or (without drawing attention from every other guy in the area), give your cock a quick rub/grope and see how he responds.
Good luck and have fun!