No, I carry it around with me lol. They dont allow gym bags on the floor and I dont want to leave my keys and wallet in the locker room. So, the fanny pack is a good alternative. 
Now that you've said this to a bunch of Getbiggers, aren't you concerned one of them will grab your fanny pack and thus your wallet and car? Maybe you should wear it.
I wish the gym I go to didn't allow gym bags on the floor. I always wonder what these dudes have in them that's so precious that they need to carry it around with them.....probably illegal steroids, I assume. I just lock my stuff up in the locker in the locker room. Never had a problem. There are a few folks who've had stuff taken out of their lockers, but they stupidly didn't lock them.