I can't speak to the insulating abilities, as I got them after our cold weather ended, but they are definitely soft and comfy. They aren't thick, but I think they would be too warm for the gym? At least my current gym anyways, maybe your gym is like an unheated CrossFit garage or something. The design of the waistband does give "long john" but with a long shirt you can't tell.
I also wish they had more colours and prints. The Christmas/winter prints are cute but I went with the camo print, even though I'm not a camo person, just so I can wear them past the Christmas season.