I hit the gym about 6 days a week, twice a day four of those days.
My hair is usually up in a bun or cornrowed under a quickweave. Those were great when my hair was shorter. Now that it's got a lil' length, I put the pony's higher and usually use a satin roller on the ends. I found for me, keeping the ends from getting wet and then airdrying loose have kept the frizzies down to a dull roar. Since I've been back using the henna more regularly (and porosity control after every wash), my hair dries much faster and straighter when in a bun.
I now shampoo about 3-4 days a week (any day I do cardio) because I hate stinky hair (and so does my SO) and the sweat makes my hair dry. I ONLY use Amla Oil or QB Heavy Cream around the hairline and on the ends), I don't use any other heavy oils or coating agents, setting lotions, etc. I try to keep my hair as UNCOATED is possible 90% of the time.
On days when I am not going to workout in the morning, I wash and set my hair at night, it dries nicely by morning. IF I do blow dry, it's ALWAYS WITH A COLD setting and then curl w/low-medium. It's not bone straight but it's not burned and lifeless either.
If I'm concerned about my edges, I apply oil and use MSKenesha's scarf method for tying them down while they dry. I rarely every use a brush on my hairline anymore. Doing this saves the afropuff that forms when I workout and that hair is unrestrained.