Yeah, man, that's a great idea. If you don't have a girlfriend, ask one of your female friends to go to the gym with you and act like she's your girlfriend (If you do have one... well, that's obvious). I think that's a great way to scare off these guys if they really are after you.

And like I said... if you don't feel comfortable there, try to find another nearby gym and see if it is up to par to the one you go to right now. Hopefully you live in a populated area where there would be more than one good gym around.