I go to a gym in downtown DC and am the only person I've ever seen wearing a jockstrap. That said, I go at the same time every morning before work, so it's possible there are other guys who wear a jock to my gym, but I'm just not in the locker room at the same time as them. My routine is I get to the gym, strip naked at my locker, put on my jockstrap, then my shorts and shirt and socks. I don't necessarily hide the fact I'm wearing a jock, but then again I don't spend that much time wearing only it. Personally, I don't get guys who spend a lot of time hanging around in the locker room. When I'm at the gym, I'm pretty focused and all business (also I've just woken up, so not really in a cruising mindset).
Anyway, I then go do my workout. Afterwards, I go to my locker, take off my shoes, socks, and shirt, and then hit the sauna. My gym has a sauna in the men's locker room, but there's a sign outside the door saying either a towel or swim trunks must be worn. I just wear my workout shorts with my jockstrap underneath (my waistband always rides up high in the back so anybody can tell I'm jocked). I'll sit in there for about 15 minutes before I get up to go take a shower. Often, when I get up, there's a wet mark on the bench and my jock leg straps are pretty clearly defined. Then I go back to my locker, drop my shorts and jock in one motion, and walk naked to the showers with towel in hand (wrapping the fresh towel you're going to use to dry off around your sweaty waist before you shower seems gross to me). I've never seen anybody fully naked in the sauna. The closest is one guy who's in there sometimes, who will constantly readjust the towel he has around his waist, and you can see flashes of his cock and balls.
One exception is when I'm alone in the sauna and want to take a progress pic. I don't like the idea of taking progress pics in the mirror in the main locker room, because I think that's an invasion of privacy for the other guys in there. So, again if I'm the only one in the sauna, I'll prop my phone up against the wall, drop my shorts down to my ankles, and take a few pics in just my jockstrap. I've never had anybody walk in when I'm doing that, but I suppose it's probably inevitable that happens. My plan is to just laugh and say "hey my bad, was just feeling big and thought I'd take a progress pic".
I do wish they didn't have the requirement for a towel or bathing suit in the sauna and that being totally naked in the sauna was the norm at my gym. It's amazing to me how many guys I see in there FULLY clothed, like with sweats and shoes, etc. Thankfully, the towel dance is fairly rare at my gym, and it seems most of the guys are comfortable being totally naked at their locker. However, I wish I knew of at least one other guy who went to the gym at the same time I do and wore a jockstrap.