My gym does not allow chalk either.
Here is what you do:
Take a bag to the gym, you know one of those cinch bags that have the strings you pull to open and close the bag. Get a plastic bag, put your chalk in it, and put it in your gym bag along with your other stuff, notebook, ipod, water etc. Between sets just put your hands in your bag, open the chalk bag and rub your hands around, all within your gym bag. Take them out and don't make a mess or a scene and no one should notice/care.
I go to a PF so I have to put up with this horseshit on a daily basis and I haven't gotten called out yet.