You have to build your own sauna to your backyard or frontyard or any yard. If you don't own the yard you're building it to, you can try bribing the owner with once a week free sauna use.

Any clothing in sauna is too much.

I think I still have one unused wish from last nights dream (I had an adventure in Aladin's world) so I'm going to use it to wish you your very own sauna. :)