I would change gyms because it is likely members are passing it around back and forth as scabies is highly contagious, it is as contagious as a staph infection in a gym. I would just workout at another gym until it is gone, and make sure you yourself are 100% cured before you start going as well! Whatever you do dont stop working out as it helps your skin heal and surface out any debris which helps you get over them quicker!

Hope this helps!