No, I don't work out in my engagement ring. Actually, it is one of my pet peeves! When I see people sweating and lifting weights all over their diamonds all I think about is the poor diamonds! Yes, a diamond is forever but that doesn't mean it needs to come to the gym with you.
Why do I feel so strongly about this? I am obsessive about keeping my ring clean and I don't believe it needs to be subjected to sweat all over it. That's just not fair to the diamonds in my opinion. Also, working out is hard on the setting and can damage it, cause sprung prongs, and loose stones. One of the reasons, vintage jewelry is still around is because they didn't wear all that often. It was taken out for special occasions and then cared for properly. Not beat up on during a Barry's Bootcamp class by lifting 20-pound weights.
If you really want your ring to last I would highly recommend leaving it at home when you hit the gym. If you can't be without a symbol of your union I totally understand but would recommend picking up a plain and simple band to add your stack. Plan on never taking this ring off and your diamonds thanking you!