Hi: Yeah, I tried the gym, too, thinking since it was a gigantic one, and I went at off hours (4 a.m.) that I could get away with it. I worked out on treadmills that were off by themselves, and really tried to stay away from other people as much as possible, but I still was made to feel unwelcome. My big mistake was to try and use the sauna (only when it was empty) at the end of every workout. Within a few weeks, the manager of the gym started to sort of follow me around and see where I was - even looking through the glass door of the sauna every day to look at me. Nice, huh? I was paying a lot of money for that, too. Needless to say, I gave up going to the gym and went to Wal-mart and got myself a treadmill.
Exercise, I believe, plays a huge role in helping with this problem, so I was determined not to give up. There are always many obstacles to get over, in a situation like this, but don't let that keep you from doing what you need to do. This is too important to just give up on. Take care.