1. There is no nice way. You will have to be "a raging bitch" and actually use the words "I'm not interested in you, I am just here to workout, please go away".

2. Talk to the manager. Now. Don't tell the guy you're going to do it or give him a warning/heads' up. Just talk to the manager or one of the staff you can trust straight up, straight off. Have witnesses you can trust, and have them keep an eye out for you. Do it NOW. Do it before you tell this guy 'no'.

Maybe he's nice. But maybe he's not. You won't know until you turn him down flat, and at that point, it's too late.