help me with my grammar. thanks!?

If you're physically in the swimming pool or the gym the it is, "We are in the swimming pool or the gym".

If on the other hand you are not physically in but just going to or beside it would be at the gym or swimming pool".

It all has to do with syntax

If your sign is to inform people that are looking for you and others:

We (you, and those with you) will either be swimming or by the pool talking then it should read "We are at the swimming pool".

For Gym.

We (you,and those with you) are all going to be at the gym working out or talking then it should read "We are at the gym".

If it is just you the reader is looking for then the signs should read:

I am at the swimming pool.

I am at the gym.

People who do not care about proper grammar would not give a hoot, read and go join you.

People who do care about proper grammar would, consider the sign improper grammar and either correct you, or just consider your grammar is poor and perhaps think "What does it matter! She is a grown women, if she does not care now, how do I know she will care if I correct her".

Hope this helps.

We are AT the swimming pool

we are AT the gym

We are at the swimming pool

We are at the gym.

We are at the swimming pool.

We are at the gym.

Using correct grammar does matter.