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If you don't want to design your own sauna and purchase all the materials yourself, you can buy a kit from a manufacturer that will let you quickly build a sauna.
To get a manufactured sauna kit, choose a manufacturer whose packages fit your needs (size, price, and construction methods), and then supply the manufacturer with the measurements for your sauna. The manufacturer will cut all your boards and label them for easy installation, and also send all the accessories you need, like the door, benches, heater, and thermometer.
You may need to provide your own insulation for your sauna; don't skip this step, as it's essential for appropriate heating. Install the rest of the sauna according to the manufacturer's directions, checking every so often to make sure you're on the right track.
When putting together your sauna, make sure you don't leave any exposed metal, as it gets very hot and can burn your skin. Also use all the trim and finishing parts the manufacturer sends to make sure your sauna has a finished, professional look.