Those are really two questions. You enforce the rules consistently (the same way every time) and fairly (the consequences of behavior match the behavior).
The "how" is where the art comes in. This also ties to another question in your query: "When and how do you approach an employee about behavior that needs to be corrected?"
Part of the answer depends on the behavior that needs correcting. If it's critical behavior, such as not following check in procedure, or chatting with a colleague when you should be spotting for a client/member, you need to comment each time you witness the behavior.
If it's "administrative" such as coming in a couple of minutes late, you can afford to let it go if you choose. I tell supervisors in my programs that you don't need to comment on things like this unless you notice the start of a pattern. Two days in a row, or three, might indicate that you're starting to have an issue. What then?
When you comment, you almost always start informally. That means no documentation. Mention the behavior and its impact.
"Susan, I noticed that you were late yesterday and again this morning. [behavior] When you come late other people have to cover for you and we're left short-handed. [impact]
That's usually enough to get an employee to correct behavior. If it's not your next conversation sounds like the first one, but adds the notice that you're going to counsel and document if it happens again.
From there, either behavior changes or it doesn't. If it does, great. If it doesn't, you've entered a situation where you need to document and counsel. For fitness center managers, it's important to have a standard way to do this.
Most good supervision happens in the cracks in the system. It happens informally. But when it's time to document, it's important to do the job right. If you'd like more on this, I'll be happy to send you a copy of my book's chapter on documentation.