If you want to ask about saunas, then ask the ones who created them, Finns
From wikipedia:
The word sauna is an ancient Finnish word referring to the traditional Finnish bath and to the bathhouse itself.
The oldest known saunas were Finnish, made from pits dug in a slope in the ground and primarily used as dwellings in winter. The sauna featured a fireplace where stones were heated to a high temperature. Water was thrown over the hot stones to produce steam and to give a sensation of increased heat. This would raise the apparent temperature so high that people could take off their clothes. The first Finnish saunas are what nowadays are called savusaunas, or smoke saunas. These differed from present-day saunas in that they were heated by heating a pile of rocks called kiuas by burning large amounts of wood about 6 to 8 hours, and then letting the smoke out before enjoying the löyly, or sauna heat. A properly heated "savusauna" gives heat up to 12 hours. These are still used in present-day Finland by some enthusiasts, but usually only on special occasions such as Christmas, New Year's, Easter, and juhannus (Midsummer).
Under many circumstances, temperatures approaching and exceeding 100 °C (212 °F) would be completely intolerable. Saunas overcome this problem by controlling the humidity. The hottest Finnish saunas have relatively low humidity levels in which steam is generated by pouring water on the hot stones. This allows air temperatures that could boil water to be tolerated and even enjoyed for longer periods of time. Steam baths, such as the Turkish bath, where the humidity approaches 100%, will be set to a much lower temperature of around 40 °C (104 °F) to compensate. The "wet heat" would cause scalding if the temperature were set much higher.
In a typical Finnish sauna, the temperature of the air, the room and the benches is above the dew point even when water is thrown on the hot stones and vaporized. Thus, they remain dry. In contrast, the sauna bathers are at about 38 °C (100°F), which is below the dew point, so that water is condensed on the bathers' skin. This process releases heat and makes the steam feel hot.
Finer control over the temperature experienced can be achieved by choosing a higher level bench for those wishing a hotter experience or a lower level bench for a more moderate temperature. A good sauna has a relatively small temperature gradient between the various seating levels. Doors need to be kept closed and used quickly to maintain the temperature inside.
Social and mixed gender nudity with adults and children of the same family is common in the conventional sauna. Sometimes the sauna is considered not only a sex-free, but also almost a gender-free zone.
In Finland swimsuits, towels, or any other garments are rarely worn in the sauna. Families often go to the sauna together, which is not considered eccentric since family saunas are an old tradition. In these private saunas swimsuits or towels are never worn. In public saunas it is more common that men and women go to the sauna separately, although people of both sexes may sometimes bathe together, for example in student clubs. Still, saunas are not associated with sex and sexuality. Quite the contrary, historically saunas have been the most sacred places after the church, and most houses which could afford to build a sauna had one. In older times women also used to give birth in the sauna because it was a warm and sterile environment. Children were occasionally born in saunas still in the beginning of the 20th century. Ancient Finns even believed saunas were inhabited by spirits
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Oh that was a long answer... But to make it short, go for it