Permaculture No. 67 Spring 2011 carries an article about how to build a sauna. A very basic design is given, but that also means it is very affordable. I could build two of these and probably have materials to spare (aside from the stove). Below is a screenshot of the article from the free online preview. One of the hippy-esque recommendations from the author is to use sheep wool as insulation in the walls instead of fiberglass. I like natural materials, but wonder about price and performance.