I can speak from experience at having my stuff stolen. I'm talking everything out of my LOCKED locker. Guy across from me kept trying to converse with me during my lunchtime workout and I just pretty much avoided it. Noticed him watching and then he took a very short shower. I dressed put everything in my locker (clothes, wallet, work ID, car keys, gym bag) and headed to workout. I came back to find my Master lock cut off and everything except my shoes, socks and underwear gone. No shirt, no pants, no belt, no wallet, no car keys, no gym bag, all was wiped out.
Fortunately my remote didn't work well with my car so my car was there but quickly called the police, but too late. Cancelled credit cards and had to replace everything.
I now don't take anything except ID to get back into my building and something with my name on it (in case I get hit by a bus on the walk to the gym). I also use this lock now:
Don't think a lock is automatic protection. I could not have secured my stuff any more than I did. Bottom line, don't take anything more than you need to the gym! It's probably more secure in your car, in the public parking lot, than in your gym locker!