Saunas

Saunas can be great for relaxation, muscle warming for exercise/recovery, and simply sweating out toxins you may be trying to flush through diet and increased water intake. They are not really intended to burn calories and can be dehydrating if you don't ensure you hydrate properly. Also- sitting in the sauna for more than about 10-15 minutes on a high temperature can actually be a little detrimental if you have just completed heavy, high intensity cardio. Try it out- but limit your first sitting to about 5-10 minutes and be sure to drink plenty of water before and after.

I do a gym and swim day once a week, and always sit in the sauna for about 15 minutes (following my workout prior to hopping in the pool) just to help my muscles relax, plus many of the toxins in your body are excreted when you sweat, so it's also a nice little detox. I find on the days that I go to the gym and don't stay for a swim/sauna, I'm usually more sore later and the following day.

I love the sauna. It's personally a better choice as opposed to the steam room that some gyms have (including mine). I believe it does help the following:

improving blood circulation
cleaning and rejuvenating the skin
easing muscle tension
promoting feelings of relaxation and well-being
enhancing detoxification processes

Other then that, there isn't much else to it, other than using it just to wind down after a fabulous workout.

I use it every time I go in.