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Deciding where you want to put your sauna may be the most important point to take into consideration before building it. Do you want the sauna inside, or outside? Do you want it to be freestanding, or in an existing room, such as a bathroom? How big do you want it to be, and where will it fit?
Another consideration when building your sauna and deciding a location is where you live. If you are in the country, an outdoor sauna with a wood stove may be a good choice, because there is more room and there is firewood available. If you are in an urban environment, on the other hand, an electric heater in an indoor sauna may be a better choice.
Research local building codes to make sure that wood burning stoves are allowed where you are, and what (if any) kind of restrictions go along with them. Also see if you need to obtain a permit to build an outdoor sauna.