Build a Sauna
You may not realize this but there are many companies around that sell Suana Kits. These kits range greatly in price and quality, starting at about $1100 and going all the wy up to $5000 or more.
The biggest question that comes up when building your own sauna is "what am I going to use for heat?". You can choose from Electric, gas, wood burning or some other type of energy to fuel your sauna.
Electric is the most popular type of heater for a suana. Its convinient, safe and inexpensive. Gas is a little bit les expensive but be sure to check for Carbon Monoxide when using gas.
You will also need to decide where to put your sauna. I like the indoor saunas better myself but exterior saunas are available.
Some of the most popular dealers of these kits are:
Sauna Kits
The Sauna Depot