I also second Szchenyi Frd.
In winter its the best experience i think. Cant wait to go there again...
You can also store your valuables in self locking lockers. Im not sure if its the right word... anyway ... you type in a code and it will lock ... you dont need no physical key ... it also doesnt cost money.
you will find some down stairs near the dressing cabins or if they are all taken just go up the stairs in direction thai massage and fitness room. there are also these lockers.
have fun