I'd put it in a Secure-it in the car or in the locker. For $30 it's good prevention.
http://www.amazon.com/BRAND-NOT-SPEC.../dp/B000HBB15U
I'd also look at getting a portable motion alarm with retractable cable. They sell them for laptops and they run about $50. I have a couple and they are handy. When activated if someone moves whatever they are attached to they go off and keep going until the correct combination is entered and the unit is unlocked. Even if someone broke into the locker if one of these are attached to the Secure-it they aren't carrying the gun off quietly.
The real question is can you get it from your carry location to the Secure-it and into the locker and the reverse without people knowing you have it?