โ.H.
You need someone who won't call you to pick him up at the drop of a hat - and clearly that's not the gym daycare staff. Do you have a friend who would be willing to watch him while you go to the gym for now? When you select a preschool for him make sure the staff have the time and patience to help him separation anxiety. My son did the crying 'til he vomited thing too. The place he went to preschool would just clean it up and move on without making any big deal of it. It took him 6 weeks to stop crying and after that I had to drag him out the door because he was having so much fun he didn't want to go home!
Practice being away from family is the only thing that is going to help.