I have a fantasy of wanting to be naked in the locker room
Do you really want to be naked in a public locker room?
Yes, as a gym goer I want to be as comfortable as possible
As long as you stay in the locker room, it is okay to be naked while changing or showering, but you shouldn't flaunt your nudity. Most other gym goers don't want to have to look at naked people.
Why not?
It's because people go to the gym in order to get fit and work out, not to see naked people while changing. If you want to be naked, you should wait until you get home to do it freely.