For the sauna and bar... do you plan to have a wet-bar, or a self-steaming sauna ? Basically I am asking if you will need plumbing, or just the electrical.
Electrical is really easy, you can drill a 1/2"-3/4" hole right through the center of most 2x4s without weakening them by any noticable amount, meaning load-bearing walls can even have electrical outlets fairly easily. Plumbing is a different story.
The best thing to do as your first step is plan it all out to the point of where you will be placing funriture in the room and everything, before you do the first bit of work. You will want to know if you want it carpeted, if you want a padding under the carpet (which I suggest since it is on concrete) if you need to 'float' the floor at all first, which is to make it as flat as possible so there are no unusual bumps or dips (this is usually done only for Tile or Hardwood flooring that is to be placed on concrete).
basically, you will want to know how the FINAL room will look, and work your way from the surface backward to what the room is now, considering every piece between that finished product, to it's current state. Once you know the materials involved, you will learn more about how they will be best assembled, and the best timeline for what can be done first, according to your budget.
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