Consult a builder about your state building codes. Will the state permit you to install a chimney on the area of your house in which you plan to build the sauna? If you cannot install a chimney, you cannot choose a wood-heated sauna because they need a chimney for exiting smoke. You will have to select an electric or infrared heater.
Consider the space in which you plan to install your sauna. Are you converting a shed or other small space into a sauna, or do you plan to install an addition to your home? Infrared saunas are not ideal for large spaces. If you are building a detached sauna, such as one on a pool deck or in a shed, an electric or wood-heated sauna may be best for you.
Decide if you want to run wiring to your addition. Electrical saunas and infrared saunas require electrical power to operate. If you do not plan to wire the addition, select a wood-burning heater.
Compare the heating capabilities of the three kinds of saunas. Infrared heaters do not actually heat the air in the sauna; they only heat the surface at which they are pointing. You will need to move around your sauna to heat different parts of your body. Electrical heaters and wood-burning heaters both come with a heated rock section on which you can pour water to increase the humidity of the room. Infrared heaters do not come with that option. Do you want steam in your sauna? If so, you should not select an infrared sauna. Also keep in mind that wood-burning heaters produce the most heat at higher temperatures.
Select the sauna that best fits your budget, after considering the size of your sauna, your building capabilities and your heating needs. In general, the bigger your space and the more authentic you want the sauna experience to be, you should upgrade your heater in this order: infrared, electrical and then wood-burning.