How can I advertise my business better?

[Jake]

Be sure you have a free Google (maps) places page to help you be more visible in local searches:
google.com/placesforbusiness

A serach for gymnastics, your city
might show some A-G labeled stick pin symbols which are local results. There are strategies to improve your places page ranking, though the ranking of your business site seems ot be a big factor.

Here's a Search Engine Optimization primer by an SEO authority, too much of the stuff taught by others is out of date or simply inaccurate.
http://www.seomoz.org/beginners-guide-to-seo

Paid internet advertising can often be set to only be seen by people within driving distance, to make the most of your advertising money. Google's Adwords and Facebook both have self serve ad systems and discount coupons for first time users a search might turn up.

It takes money to make money, its pretty common for businesses to be in the red as they build up a clientel.

For publicity offer free classes to some needy kids, having some clients helps attract more, write a press release about it, which might get it reported in the local media. There are free and paid press release distribution web sites, a free one might get you mentioned in some automate news sites or blogs, might have to pay a service like prweb.com some $89 to get a chance of reaching mainstream media.