How do you track calories burned when you go to the gym?

Search for TDEE on the boards. It may be much easier for you rather than trying to guess how much you are burning at each session.

I second the TDEE method.

Go here and enter your stats: http://scoobysworkshop.com/calorie-calculator/

Then it will spit out a calculation you want based on your goals, and you eat that many calories a day. You do not log exercise calories because they are already included in your TDEE. Much much much easier then figuring out how many calories you are burning.

You cannot use an HRM for weight training.

I just use the MFP estimates, its as good as anything. You cannot accurately track weight lifting. It's typically around 200 to 300 for me, and most people will agree that the range is in the 150 to 300 range.

There is NO WAY to measure this. So, just go with something reasonable. You're safe with around 200.

^^This
What @Guitar Jerry wrote

I used to think otherwise, but reading on the forums I finally got it through my head that HRMs are only good for steady state cardio like walking on incline up treadmill, elliptical, stair stepper, running at constant pace.

Most people have advised me to pick a low number and live with that. The benefits of weight training go way beyond the instantaneous calorie burn.

Good luck!

There is an option for "Strength Training" under Cardiovascular, that's what I use. It it generally agreed upon that MFP overestimates calories burned. If I don't have another way to log, I record about 2/3 of the time I spent exercising and go with that.

This is probably your best option. Another is just to ignore the extra calories you burn weight lifting. It's really not that much and it'll give you some extra cushion against underestimating the calories you've eaten. I usually give myself 90 calories for the hour or so I spend lifting. I know I've burned more than that because I'm lifting heavy but I don't lift weights for the calorie burn.

I lift really weights (heavy is dependent on you! if it's hard to lift, it counts as heavy), so I want either my protein shake or quest bar afterward. Therefore I count those exercise calories! I usually put in 30 minutes of circuit training even if it takes me 45 minutes.

To log weight training, go under 'cardiovascular' and search for "Strength training (weight lifting, weight training)".
It gives you some calorie credit for weightlifting. Not a lot, but it's better than none.

I log the minutes of weightlifting & elliptical I do, plus in my exercise notes I record the info from the machine at the gym (time, distance, calories) which is usually about 2/3 of what MFP claims I burned.
I also have a pedometer app on my phone, which is more for general info than counting calories.

Usually I ignore exercise calories for the purpose of deciding how much to eat; I just aim to be consistently under my goal (currently 1700 cal).
If I'm really hungry at the end of the day, I'll eat back 1/3 to 1/2 of what the machine says I burned. Using the lower number ensures that I won't go over. That could amount to anything from nonfat yogurt & fruit to a half sandwich (usually turkey & cheese).
And if I do go over by a couple hundred, maybe I went to the Chinese buffet for lunch, I don't stress about it because I have that cushion from exercise.

I don't bother counting weight training. like others have said it is only 100 - 300 calories. I do track cardio like walking.

I don't either. I don't intend to eat those calories back, as they're not many, so I just track my running (cardio).