Hello! I'm on SS and go to the gym nearly everyday, as long as you aren't pushing yourself too hard it shouldn't be a problem. I've lost 21lbs in 4 weeks and I feel better for the exercise, although I don't think it has made a huge amount of difference to the losses, its just improved my fitness.
If you want to do a full on workout then you need to consider moving up the programmes. I am shortly starting training for the Great South Run & my CDC will not let me go on anything less than step 3 (1000 cals) when I start the training as your body needs the energy to burn.