Chalk is good, but its messy and not all gyms allow it.
I thought about getting some chalk, but someone put me onto this alternative, its not messy, so can be used in all gyms and it works just as well according to the guy, might scope out my local golf shop to see if they have it. It's called "Dry hands"
The product was originally developed as a liquid chalk substitute for weight lifters and gymnasts.
It even works in the rain - something chalk can't boast!