Sometimes I'll put my underwear on under my towel. It depends mostly on how busy the locker room is. The busier, the more I sort of want some kind of privacy.
I also will when I get the feeling I'm not being just looked at but stared down. I go to the gym so people think I look good and will look at me but there's a difference between looking and staring-- intently, even when the person doing the staring is aware that you know and look a bit uncomfortable. I like being looked at in the gym and feeling sexy to other guys but not being stared down. (Yesterday I was stared down so hard I felt disoriented I was so uncomfortable. I put my underwear on under my towel.)
Then, I think: Ok, I'm not giving out a free show and I really want some privacy so my ass will stay covered.