There is also:
5) Buying a cheap pair of SPD-SL pedals and installing them on semi-permanent load to the gym.
Swapping pedals is a pain, and this will save you money over buying shoes (considering you can either sell the pedals later or put them on your next, beater bike). Personally, my feet/legs seem to be sensitive to shoe/pedals switches (they don't like rocking in SPD's), but most people aren't as...er, delicate...as I am.
Plus other Ultegra/Dura Ace riders could use them, which might give you a warm, fuzzy, do-gooder feeling (although, admittedly, for the price you're paying, the gym should considering buying them for you).
Just one more idea.