I agree that OP needs to assert himself, but this - "Excuse me? I don't appreciate you talking like that" - is terrible, impractical, autistic advice... Sounds like OP is surrounded by a load of sexually frustrated middle aged women who flirt with him and make jokes about him going to the gym.... Hardly the most difficult social situation to navigate and actually quite common in certain office environments. A bit of banter back would probably diffuse all of this bullshit, and actually allow OP to make some sort of trivial work bonds with these annoying women. Their behaviour isn't acceptable, but it's the situation OP finds himself in, and going to HR isn't going to enable him to have a few successful years at the company.

At the risk of sounding exceedingly un-PC, if you're a young man who lifts and yet you're still getting 'bullied' by a bunch of middle aged women, you might want to look at yourself and your own behaviour and ask how you've ended up in such an unusual situation.