In the gym I go to, we used to have locks with keys. These were regularly burgled as it is easy to buy master keys for these types of locks. We now bring our own combination padlocks. While these are not foolproof either, it's more obvious in a busy changing room of someone is fiddling around with a combination lock in a peculiar way.

You do need to be highly vigilant at all times, though. We had a spate of people's handbags being stolen from the benches when the owner had turned their back for a moment.