You might find that your blood glucose levels increase after exercise sometimes, especially to start with. Someone did explain this to me, but I don't understand it well enough to explain it here, but aerobic exercise (swimming, cycling, running etc) affects the body differently to the kind of exercise you get when focusing on muscle strength (eg weights)
I have had some of my lowest readings after exercise, and I have also had some very odd readings after exercise too. Odd in that they were higher than expected, but I was eventually able to put that down to variations in my menstrual cycle.
If you start off your exercise with high blood sugar - over 8 I think (I'm sure someone will correct me if I'm wrong) - it may increase further :?
If you are execising to lose weight, I think you may be dissapointed, muscle weighs more than fat. However, if you are exercising to burn glucose and to improve your cardiovascular function you probably won't be dissapointed if you do it regualrly

Exercise seems to wake up the insulin receptors in the body and enables them to use glucose more efficiently
take it easy to start with, if you are in the gym ask one of the staff to help you set up an exercise program and monitor it. Make sure you tell them you are diabetic. Don't overdo it to start with, you don't want pulled muscles and bad backs to add to your ills!