Get a plan or simple design for your sauna. It must be a rectangle and tall enough for you to stand in.
Construct a ceiling and four walls with wood. Leave space for a door and at least two vents.
Insulate the inside with a layer of fiberglass about 3 inches thick. Cover the fiberglass with wood.
Build benches in the sauna with wood. Brace the benches on the sides and in the middle.
Install a door. Use a wood door because metal would get incredibly hot.
Install a stove. The size depends on the size of the sauna.