with a slang way you can say. Voy a jalar Voy a pegarle al Gym Or just..... Voy al Gym This works in Mexico, in fact we use more the word Gym (english) than gimnasio (español) it is rare I know but is true.

You usually use "entrenar" when you're working out in a particular sport: Judo, swmming, karate, futbol etc, but when people go to the gym just for doing fitness, spinning o that sort of things, people just usually say "me voy al gimnasio".

I go to the gym myself two or three times a week and we I do I say : Me voy a entrenar al gimnasio.

Puedes decir. Básicamente puedes decir: Estoy ejercitandome (sea que infieras estar en el gym o corriendo, tomando un paseo etc). Goodbye.

Or you could just say "I'm going to the gym": Voy al gimnasio. And people will understand that you are going to work out.