We used to have a sauna in the basement of a shared house. It was great when we'd been riding and one would shower while the other 2 would keep warm in the sauna. However, the idea that we could invite pretty girls back from the pub for a sauna didn't quite work out. Learnt some vital lessons though…
Women don't like getting naked in front of strangers, but will strip down to their underwear.
Under wired bra's leave nasty burns when hot.
Earings also get very hot.
Its not sexy, its sweaty and awkward!
Having a sauna will attract more men than women.
A sauna full of sweaty men is a reason not to have a sauna (unless you're into that, in which case its fine.)