If you're going to chat up someone at the gym, I recommend doing it after both of you are just finished working out. You'll both be in a better place hormonally and neurologically to either give or receive this sort of interaction.
"Creepy" in this context (and many contexts, actually) essentially boils down to "forced". It took me a lot of life experience to realize this. If you striking up a conversation with a woman you find attractive at the gym is natural and spontaneous, and you tactfully let the conversation peter out if she doesn't seem receptive, that's not creepy.
Lysis and rangrz, people with Asperger's syndrome don't read people well, and tend to have a lot of experience getting taken for a mark and being socially rejected. For a lot of them, therefore, most social interaction, especially with strangers, takes on stressful associations. etasu, it's actually very easy -- if you're not interested in a guy who's talking to you, just kind of ignore him. Mumble a one-word monotone response but don't look at him, and just keep minding your own business. Most guys will get the message, and won't be any sort of threat. Correct me if I'm wrong, but I'm guessing you feel you need to answer them in kind and engage them, because it's the right thing to do. I'm guessing this is really stressful, because you can't tell if the guy has an agenda or not, but can't bring yourself to run a different script and engage less with him. It may be counterintuitive, but believe me: being lukewarm right off the bat makes things easier for both of you, at least 99% of the time.
Please also understand, etasu, that some of the guys who approach you might actually be quality people who'd understand you an get along well with you, and would never want to make you uncomfortable. You may be missing some great opportunities by not working with a professional trained in dealing with your condition who can teach some simple and fairly good strategies for telling a gentleman and a scholar apart from a smarmy pervert or a sly player.