One consideration with sunglasses is that women may think you’re wearing them so you can leer. Even if that’s not the case, the women in the gym wouldn’t necessarily know that. So rather than just thinking it looked odd, they might consider that you were trying to creep on them.
One way to sidestep that is to get some glasses with light-sensitive lenses. This way they would just darken slightly from the overhead lights and the other members could still see your eyes. You could also try some fashion glasses that have lightly color tinted lenses. Blue might be a good choice, as sometimes the blue frequencies can be more intense.
If you do go with darkly tinted glasses, consider getting some that look sort of medical related. Like the kind that old people with cataracts wear. While this will look odd, people are more likely to think you’re wearing them for medical reasons rather than to leer.