I brought a bunch of protein and was searched, didn’t have any problems, I wouldn’t worry about it dude. People smoke pot right outside the hotels and casinos and prostitution is legalized, I don’t think you’re gonna get in any trouble for a bottle of creatine!
I went to 2 gyms there on the strip, both were just in spas though, I got lots of massages! One sucked hard, that was at the hotel I was in, the Hyatt. The other one was actually OK for bodybuilding type stuff, had lots of dbs and machines, was in a spa near the big casino/resort on the beach front, I forget the name.
I don’t know of any conventional gyms that are off the beach side of the island but never looked into it. It’s a fun place, real relaxing, enjoy