Where one works out how to possess sexy Conservative girl (4-3,5)

I believe the answer is:

keep-fit class

'where one works out' is the definition.
(place to do exercise)

'how to possess sexy conservative girl' is the wordplay.
'how to possess' becomes 'keep' (keep can mean to hold onto or possess).
'sexy' becomes 'fit'.
'conservative' becomes 'C' (UK political abbreviation).
'girl' becomes 'lass' (lass can informally mean a girl).
'keep'+'fit'+'c'+'lass'='KEEP-FIT CLASS'

I've seen this clue in The Guardian.

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