First, let me applaud you for taking theft-prevention steps. An empeg is a terrible thing to lose.

For starters, I'd find a smaller, less obtrusive case than the Pelican. Ideally one of the original empeg bags if you can get your hands on one. That'll make it a lot less trouble to carry into restaurants and stores and such. Something with a handle instead of a shoulder strap... the only time I seriously dropped my empeg was when I had a bag with a shoulder strap and it slipped off my shoulder.

I wouldn't worry about putting it in the gym locker as long as there are actual locks on the locker doors. I guess this depends on the gym, of course. If there is a history of theft at your gym, I'd be looking to find another gym pronto, otherwise, I wouldn't sweat it. (Ba-DUM.) I also wouldn't worry about leaving the empeg on my desk at work unless there was a history of theft there. But I don't know what your work environment is like...