A sauna was a place to relax using heat.
The First Doctor went with Nero to a sauna to try to get information from him. (TV: "Conspiracy")
The TARDIS had a mile of Margate beach with seagulls, a laundry, a greenhouse and a sauna. (AUDIO: Nevermore)
Clara Oswald found a sauna lined with wooden panels and benches in the TARDIS. (PROSE: Shroud of Sorrow)
Hedenex had caves that formed natural saunas. (AUDIO: Benny's Story)