If you hook up a Sonos player to the main system, then take it out to the gym, it will work with whatever has previously been configured into it. Note that it will be divorced from the rest of the system because it's on a different network. Think of it as a 'clone', to seed the system in the gym.
You could wire the player to the gym router, attach a phone to the gym WiFi, and you're all set.
If you're going to run it in 'Standard Setup' -- i.e. on WiFi -- then wire it to the router temporarily and configure the correct WiFI details via Advanced Settings/Wireless Setup. You can then detach it.