Warming up and cooling down properly is by far the most important thing when working out, to avoid injuries. Next on the list is proper nutrition, followed very closely by proper sleeping habits. Whether or not you use a sauna is way, way down on the list.
If it makes you feel good, do it.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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