Both "In PE class" and "In PE classes" are correct, but the choice depends on the context.
In PE class: This is used when referring to a single PE class or a general concept of PE classes. For example:
"In PE class, we learned about different sports."
In PE classes: This is used when referring to multiple PE classes or a specific set of PE classes. For example:
"In PE classes this semester, we've been playing basketball and soccer."
In your specific sentence, "In PE class" is the more common and natural choice, as it refers to a general practice in PE classes. However, both options are grammatically correct and can be used depending on the intended meaning.