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Perhaps the most important point to take into consideration before building a sauna is where you want it to go. Will it be inside, or outside? Will it be freestanding, or in an existing room, such as a bathroom? How big does it need to be, and where will it fit?
Where you live (and are subsequently building your sauna) may also play a role in what kind of sauna you want to have. If you are in the country, a wood stove may be a good source of heat because of the availability of firewood. If you are in an urban environment, on the other hand, electric may be a better choice.
Make sure wherever you live you do research on the local building codes, to make sure that wood burning stoves are allowed, and what kind of restrictions go along with them. You may also need to obtain a permit to build an outdoor sauna.