I usually find it best not to make a scene. If you think it would upset someone, then you might not want to do it.
Indeed, you have the legal right, and that is awesome. But that doesn't mean you should. Where I am from, I have the legal right to carry any sized knife/blade, as long as the handle (or some other identifiable portion) is clearly visible if it's over a certain length. That means I could walk downtown with katanas clearly visible, a claymore sword strapped to my back, and a bandoleer full of throwing knives and stars. However I certainly wouldn't (unless there is an event that warrants it, such as pirate day, but on those days I usually wear my rapier).
I think it's find to use the sauna and showers with some sort of bottoms on, such as swim bottoms (although I would probably lean towards the shorts style instead of the bikini style), at least to start with. If you get feeling more comfortable, and you get to know the other folks that frequent the place, then perhaps you'll feel more comfortable (and them more comfortable with who you are). These are the sorts of things we have to ease people into.
Personally, I am a bisexual androgyne, so I'm not really sure which locker room would be most appropriate for me. However to minimize confusion I use the guy locker room, because my 'equipment' is male, if it were female equipment I would probably use the girl locker room. This has nothing to do with MY comfort, but for the comfort of those around me.
But perhaps I give in to easy to the emotions and comfort of others and not enough into myself. Dunno.