Here are some tips for maintaining your style whether your hair is natural or relaxed.
If your hair is press and curled add some pin curls to preserve your style then tie a scarf around the edges to absorb any sweat.
If your hair is straight you can wrap it and pin it with bobbie pins to keep it secure, or pull it back into a ponytail and tie a scarf on it to keep it from reverting while you sweat. Keep the scarf on until for a few hours after your workout and your hair should dry pretty straight.
If you have a short cut, just mold it down if sweating ruins your style quickly, or shampoo and remold it afterward your work out, then add some fresh curls once it's dry.