I have heard that too, but I have never actually had it happen to me.
Typically I do not adjust my basal rate at all on workout days, or the following day. I do however make sure that i check my sugars and eat about 30g of carbs about 30 minutes before i work out with the intent to raise my BG to around 10. Not fast acting carbs, or slow acting, but i decent mix. Usually in the form of a workout bar (cliff bar, power bar, crackers and cheese etc... ) Then 30-45 minutes after eating i check my sugars again, to ensure they are at a nice level (usually 8-11, depending on what I am doing) and if they are good I hit the gym!
While working out i always keep at least 10g of fast carbs in my pocket (usually just a piece of wrapped candy i can quickly eat if i feel off).
I try not to deviate from the routine i have planned, for which i have eaten the required snack for - Typically its 15min cardio, 45-60min weights.
Afterwards i check my sugars and drive home, and then again before my meal so i know if i need to bolus with my post workout meal THEN i shower and clean up.
I find that my sugars can be a bit lower then normal for 4-6 hours after a work out, but predictably so. To counter this i just have an extra little snack (10-20g of carbs that i don't bolus for) and thats always been good enough!
EDIT - Oh, also, i make sure that i have NO bolus left in my system during the workout. So its always at least 4 hours after my last injection, and i do not inject with my pre workout meal - the plan here is eat a bit, digest it, and have it being worked off during the gym period.
You will have to start with small workouts and slowly evolve your routine over several attempts in order to find what works best coupled with your gym routine.
When i first started out i liked to bring a bottle of sugary Gatorade with me, knowing that the entire bottle was 45g of carbs IF i needed it. I normally only drank 1/2 and slowly less and less until i was just drinking water. and now everything works fantastic! I have never had an issue when i follow my routine and plan.
I hope you work at it and nail it down just right, its very rewarding, and very helpful at keeping the weight and sugars under control.