I personally just shower after a workout and head home. Shaving, moisturizing etc I do all at home, but as much as convenience of not having to bring it all with me to the gym as self-consciousness doing it in front of others.
I see guys doing the full shave, teeth-brushing, etc routine in the locker room tho. Seems like overkill to me, but I don't know what their circumstances are, so maybe they have a good reason for it.