You'll need to read up on the laws wherever you are.
Personally, when I use a hotel, I keep a lockbox in a drawer in the room for my gun (if I'm not wearing it) and any other valuables. That isn't proof against a real thief, but it's enough to keep the cleaning crew honest.
Many hotels have small safes in their rooms. I don't mind using those as long as they are the kind where I can set the combination myself.
"An armed society is a polite society." — Robert A. Heinlein
"After a shooting spree, they always want to take the guns away from the people who didn't do it. I sure as hell wouldn't want to live in a society where the only people allowed guns are the police and the military."
— William S. Burroughs