Started last year in early summer to construct a “ fun project”. The sauna ( or steam bath as they say up north) began with the concept of having a relaxation space that could be used all year round. Toss up between that and a hot tub, perhaps both eventually, time will tell. In the first pic, the floor pad is laid out and consists of a 6 inch thick ( overkill) pad of reinforced concrete.

Then the enclosure was framed and boarded with rough pine.

Steel roof to match the house, and a window to maintain contact ( a little ) with the outside world.

Roxul  insulation covered with aluminum  vapour barrier to retain the high heat.

One important point is the addition of fresh air intakes and exit vents.Rear west side view.

The interior views showing the wet rock heater, thermostat, hygrometer and thermometer as well as lighting and cedar lined walls.

Once completed, the sauna has performed tremendously. We estimate that with the current electric charges that each usage costs about 60 cents! 
The enjoyment factor is huge, and all in all, a VERY worthwhile project.