The sauna is the greatest Finnish invention. It cures insomnia, relieves stress and gets you cleaner than any other means. First, it's pronounced "sow-na" not "saw-na". Pretend you're being pinched.
As for the proper clothing for a sauna, ask yourself if you shower or bathe with a bathing suit or towel on and you'll know the correct answer. But being a Christian and considering the sensibilities of those I invite into my sauna, that can change. In summer at a cottage, when you're running between the sauna and the lake all day, or in mixed company with someone other than your spouse, bathing suits are expected. But when I was growing up, if me and my girlfriends went sauna together, we were all naked. But that was okay because we were all Finns.
The sauna must be hot. Hot for you might be cool for me, but usually you want to feel the difference when you step in. You must have water to throw on the rocks. There is no such thing as a "dry sauna". It's a myth, made up by non-Finns who operate public saunas because they don't understand that even though most sauna heaters are electrically powered, there are not live wires in there. We have a genuine wooden bucket and wooden scoop but a regular pail will work.
Throw a few scoops of water on the hot rocks. You know the sauna is hot enough if the water evaporates right away. Watch the steam rise and creep across the ceiling towards you. The best place to sit is up high, and diagonal to the sauna heater. That's the hottest corner. As the wall of heat settles on you, squint to keep the sweat from getting in your eyes, bare your teeth and breathe through your mouth. Do it again until you need a break. Step outside, take a drink, or swim. I've rolled in the snow only three times in my life, and only to say I did the crazy Finn thing, but I've never been brave enough to dip in a hole in the ice. I'm not that crazy!
Another aspect of sauna that outsiders raise their eyebrows at is the use of the "vasta" which is a bouquet of birch leaves. The vasta is made in summer, then hung upside down to dry. Throughout the winter, during the sauna you can gently slap it against your skin. You can also do this for your sauna buddy. It's very invigorating. My mom said when she was a kid growing up in Finland, she and her friends would assemble vastas to sell. The Finnish equivalent of a lemonade stand, I guess.
Repeat twice, then wash. The heat of the sauna opens your pores to let the dirt out. You'll be uber clean. You'll have a pink cheeks and a healthy glow. It's usually a social event. Friends invite you over for a sauna, so be sure to thank your host for the sauna. Say, "Kiitos saunasta." (Key-toes sownasta).