When I'm doing HIIT or Tabata, I use an app on my phone. I can set it up to signal starts, stops and rests.

OP, it sounds like you would benefit from a few sessions with a trainer. Ask at your gym: they may offer free introductory sessions. If not, but two or three session. It will be worth it in the long run. You can be clear to the trainer that you don't want ongoing training, just someone to help get your started by showing you how everything works and helping you design a realistic program. A trainer is better than videos because he or she can help make sure you are doing things correctly, instead of you just hoping for the best.

There are actually a few women in my gym that bring their iPads with them so that they can follow along with their favorite exercise video - primarily floor exercises though.

I do this with my phone. I have Bluetooth headphones and follow along with the video. It works great! I use the videos at fitnessblender.com and have done free weights as well as HIIT type routines.

OP I have been working out in gyms for years and have always carried a small notebook and pen with me. It's very common and no one will think its odd or strange. It really motivates me to stay on track and I get a lot of satisfaction out of putting a check mark next to each exercise as I complete it. There are actually a few women in my gym that bring their iPads with them so that they can follow along with their favorite exercise video - primarily floor exercises though.

Do what works for you - otherwise you'll never be successful. I also wear headphones as music totally motivates me, and it keeps gym creeps from talking to me. I'm at the gym to accomplish something, not get chatted up....although it is flattering