To help keep my wig on, I've grown my hair out some, and I use bobby pins -- one at each temple, and two in the back, one out at each side. I've never had it come off skating, except for that one awkward slam where I was bombing a hill, and my wig wasn't pinned to my hair.
Gosh, I hope your gym is rad, and you're fully accepted there. I'm still super nervous when I have to use the bathroom!