I obey the law, and that's that. I'm not at liberty to disclose when and where I am not armed with a firearm; nor where I keep my firearms.
I will say that playing sports or working out do not necessarily require one to disarm, just that you may need to be creative and/or look like a dork wearing a fanny pack. And in those cases where you may not lawfully carry a firearm, you usually may carry other arms. Something is better than nothing.