I would say that you should just change casually in the locker room as if you were wearing boxers. Yes, you will feel anxious, and people will stare at you. However, chances are, folks won't say anything. I always change in the gym locker room whilst exposing my thong casually. It looks like I'm not wearing any underwear at all. Guys stare at me, but they don't say anything nor give men weird looks. Go for it man! Thongs shouldn't have to be a marginalized underwear choice for men.