I don't know if this is any help, being that I'm a man, but my wife is one of the most modest people I know and she is an athlete. She is currently training for a mini-marathon in April. There is plenty of work out material now-a-days that can go over spandex and is very breathable, etc. and that is what she does if she might be somewhere where straight spandex might not be appropriate. As time has gone on, dressing like this has become natural, although early on it was a pain. The reward now though is that our two little girls and three little boys have grown up with the image of a modest Christian women and I for one can see the results. Speaking for her, she would say the effort is worth it. Our girls are bombarded with sexual images wherever they go. Almost every woman on the cover of a magazine in even a grocery is made to look some plastic barbie doll. Doing what you can to be a different example is admirable and commendable. But don't get too freaked out about it, modesty and puritanism are not the same thing! And strong woman rock!
I'm a total newbie, and I hope I don't raise dead horses here, but I did a search and didn't see this question addressed (if I missed it, I apologize). I cover my head in church. I wear a skirt. I believe in being modest. But I'm also an athlete, and when I run I wear shorts that are pretty short (longer ones chafe or get heavy if it's raining and they become wet), and when I cycle I wear spandex (again, a measure against chafing: skimpy athletic clothes are, in my experience, not about sexiness but about practicality). It seems hypocritically immodest to me, though, to wear these things out in the world when I am so careful to dress for church. I'm faced with kind of a practical dilemma now, too - I'm a regular attendee of matins services, and I am a cycle commuter. Next week school begins and I'll be cycling to get there (driving in the city is highly impractical for me as well as expensive), and I want to continue going to matins. So I'll ride to church, change, then change again and ride to school, I suppose. That means being on church grounds wearing spandex. This makes me very nervous.
So how do we navigate this discrepancy between how we dress in church, and how we are the rest of the time? Or should I become like the bruderhoff women and even cover my head constantly (between a scarf in church and a bike helmet on the commute it's nearly always covered anyhow!)?