I do my hair on Saturdays, and work out on Tuesdays, Wednesdays and Thursdays, so i put my hair in a snug bun and use the Save your Do GymWrap to keep the front in check and it works pretty good. Tuesdays i usually do weight training so i don't sweat as much and do the cardio Wednesdays and Thursdays. By Thursday i could care less about sweating my hair out.
Another thing i make sure is when i do work out if i work up a sweat and have the gymwrap on and i wont take it off till my roots are dry so y hair won't puff or frizz up.