Where I swim, you are given a token to use the locker. When you insert the token, you are able to remove the key and lock up your belongings.
I take my shower necessities with me when I go out to the pool deck. I place this little bag, along with my towel, on one of the benches surrounding the pool.
After my swim, I head to the shower, then the change room. That way, I don't have to leave my locker unlocked while I shower. It's also a time-saver, since you don't have to retrace your steps. We like that, don't we? 🙂