I don't worry about it at supervised ranges... When I lived back east I used to go to a public range that had a full-time and attentive (armed) range officer, who was an employee of the DOW.
These days I shoot mostly on remote stretchs of public land, often in places that other shooters frequent. I've seen enough problems with certain idiots at these places over the years, so I pretty much keep a loaded gun on me. If I'm shooting my AR, etc, I also typically carry the weapon with me on a sling when I go down range (prevents snatch-n-grab theft, mostly).
When I qualify at work, obviously none of this is an issue. So, I don't carry an extra gun there!