Preparation is paramount when building your own sauna. Go out, shop and compare the different sauna heating systems. At the same time compare what you find with what you want in a sauna. The size depends on your desires. Some people want a sauna that will hold as few as one or two people, or as many as twelve. Be sure to get a heater that will support what you want. Next, get a certified electrician to install a circuit breaker of sufficient size to run the heater, a light and possibly a small radio. You should be able to run ten guage solid wire to the sauna emplacement. The floor of the sauna should be poured concrete with a drain installed with the pour. The drain is necessary since you will be at least sweating in there and will need to occasionally wash it out. The wood you use is extremely important. Good dry cedar is best because it doesn't mold in the presence of moisture. It also smells good when you are in the heat. DO NOT USE METAL SURFACES UNDER ANY CIRCUMSTANCES. Yes, metal racks are cheaper, but they will burn flesh when you get that sauna up to a good sweat temperature. Run all screws for benches and walls from the outside of the sauna or underneath the runners in the bench. The only metal exposed should be on the surface of the heater. Be sure to frame together the interior first, then insulate the walls from the outside. You can use any exposure appropriate material on the exterior. I suggest building your sauna outside, where you can use T111 siding on the outside.
It is simple and can be painted to match any home. Another note on interiors, shiplapping the wall boards gives it more coverage and keeps the heat in better. Shiplapping is when you cut a groove on one edge of the long side of a board and then flip the board over to do the same on the opposite side of the opposite edge. It overlaps the boards and allows expansion and contraction of the wood without creating holes. Hang a single bulb with a temperature safe fixture in the middle of the sauna. This way you can use it at night. Finally, have the switch for the light and an extra outlet OUTSIDE the door. Be sure to run wood trim around the inside of the doorjam and make wooden handles so the door can be closed fully without a draft.