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I don't know that it would be a bad idea, but if you're looking to do it for warm-up, you're probably better off doing light sets with weights, a short, easy jog (~5 min), jumping jacks, etc., since this will also get your heart pumping and the blood flowing, which will prep your muscles for the workout. A sauna will just get you hot and dilate your capillaries.
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d^_^b Got my headphones on.
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