I understand this perfectly. I didn't use my gym membership for the longest time because I felt this way. And then the treadmill I was using at home broke and I couldn't find someone to fix it so I had to drag my self-conscious self to the gym. It was tough. Were people staring at me and judging me??? YES!!!! And this wasn't in my mind, this was real. (I even got approached and told I should be doing less at my weight)! But as self-conscious as I felt, I had to realize that I wasn't doing it for anyone other than myself. I had paid the fee and I had a right to be there and work out how I wanted. It helped to take my own music and just stay in my zone and block everyone there out. I'm not there looking for friends or workout buddies or anything, my time there is my own, and I remind myself of that often: I don't care what they think. And the funny thing is right, some of the fittest-looking people at the gym are just there phoning it in (walking on the treadmill and messaging on their blackberries or even reading a book) but no one there judges them because they look the part.
Anyway, the self-consciousness is not an easy feeling to get rid off. Either go at awkward times if you can (i.e. mid-morning, mid-afternoon) or if you can't, give yourself a pep-talk and realize that you don't need anyone there's approval. You're there for yourself!
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