According to the provisions of the Fire Protection Law of People's Republic of China (PRC), no unit or individual is allowed to change the use nature of fire safety facilities and fire prevention and smoke prevention zones without authorization. If it is really necessary to change, it shall be reported to the fire supervision institution for approval.

Therefore, if the gym needs to change the second-level fire protection, it should apply to the local fire supervision agency and submit relevant materials according to the regulations, and it can only be changed after approval. Relevant laws, regulations and standards should be observed during the change process to ensure fire safety.