My goal is to always have a blade on me. The only exceptions would be restricted areas and when I'm in bed (in that case, knives--and a gun--are just a step away).
My LadyBug always resides on my keychain. Yes, there have been times it was my only blade, when I forgot an EDC.
When I used to attend the gym, I always had a knife, usually a Delica or Endura clipped to either my pocket or my waistband (on the treadmill, I would usually stick it there for better "motion control" to borrow a phrase from the sportsbra

industry). FRN knives shine in these situations due to lightweight and lower cost. Never had any comments about my knife, except once, when someone did indeed think it was a pager (!). That was when I was entering the pool...
Yes, I always carry in the pool. AUS-8, 440C, and GIN-1 (G-2) steels seem to work well here. Rinse well in tap water after swimming.
When I was attending a wedding in Charleston, S.C., I stayed at a slightly seedy Motel 6 in a slightly not-so-nice area of town. It was the end of the summer (fall, actually), and I was glad that pool was open after my loooong drive. I had my then-EDC BM large Ascent on me. It made for a much more comfy swim after dark!
Remember that knives are primarily "tools." If anyone asks, that what you say it is, both because it is the legally smart thing to do, and because it is invariably TRUE.
I have cut many, many things in my life, but I have NEVER cut another human being. My knives have always been used as tools, not weapons. Even the Gerber Mk. II fighting knife I took to Saudi as an MP was only used once--to cut commo wire!
Now as to cutting my OWN flesh--well, you guys know the deal...
When I attended, I also used a nice selection of knives to place out on the bagel table at the gym on Fridays (bagel day). They were much superior to the thin plastic "knives" which were provided. One day a mother used my Bladeforums black ti Sifu to cut a bagel for her daughter! "That's a nice knife" was her comment.

Sometimes the world just seems so...right.
Karl