Prepare your closet by completely cleaning it out. If practical, install two electric outlets on either side of the closet; if you choose not to install electric outlets, using extension cords is a viable, and expedient, alternative. Be sure the outlets and extension cords can handle the necessary amperage of your infrared emitters.
Place the lamp stands on opposite ends of the closet, positioning them so that they are facing the center of the closet. Infrared emitters release heat in a straight line, therefore two emitters, one on either side of you, will provide even heating.
Position a wooden bench, or chair in the center of the closet between the two emitters. Turn on your emitters, take a seat and enjoy your sauna.