Here are some great sites about Wood Saunas.
http://www.hometime.com/Howto/projects/sauna/sauna_1.htm
This site shows you step by stem how to assemble an indoor wood sauna from a kit.
They start with the walls, door, ceiling and then the benches and heater.
http://www.cedarbarrelsauna.com/cedar-for-saunas.html
This site sell saunas but also has a great section about the best type of wood
to use for building a sauna. They think Cedar is the best choice for Sauna wood.
http://www.redwoodsaunas.com/
Callaway Woodworks builds wood saunas from Western Red Cedar, Redwood and Teak.
They offer a very unique barrel sauna and wood hot tubs.
http://www.almostheaven.net/aho/woodinst.htm
Tylo Sauna heaters offers a wood fired sauna stove.
This site offers installation information as well as Sauna Kits.
Some of the most popular dealers of these kits are:
Sauna Kits
The Sauna Depot