There is a gym upstairs.
There is also one next to Lao She's former residence.
There is also a gym upstairs in Anna next to Tianqi Construction Bank (but now it seems to have moved to the narrow road opposite Tianqi)
There seems to be a gym in the north of the city, but I don't know where it is.
Last time I read the leaflet, Southwest University also taught dance, but it was a little expensive (this seems to be aimed at majors rather than just entertainment, so it is more expensive).