ehhh.. I have a distaste for hitting on what I call a "captive audience." It's like hitting on waitresses and bartenders, IMHO. The chicks are there to do one thing, they probably don't have other places to go to do it, and you're using that captivity to make them less likely to reject you.
It just feels bad to me, though it's probably been done since the beginning of time. Hanging around the only watering hole on the savanna because the chicks have to show up there at some point.
To me, bar, club, or even grocery store pickups would feel less ew.
But I digress. If you're going to pick up chicks in captive areas like that, it's even more work than street pickups IMHO. Because for you not to be labeled "the guy who hits on all the chicks" or even asked to leave the place, you have to spend a lot of time chatting chicks up in a friendly way and being friends with everyone. The best would be if you turned the entire gym into your "social circle" and then pulled from that circle. You wouldn't see returns right away but after 3-6 months you could probably be hitting chicks fairly regularly.