Turn off the breaker to your sauna on the circuit panel.
Place the junction box on the wall where you want to install the light. Trace around the electrical box to make an outline.
Drill a hole at one corner of the outline with the power drill. Insert the jigsaw blade into the hole and cut around the outline.
Run the electrical wire to the opening in the wall using a fish wire. Pull the wires through the hole.
Insert wires into the junction box and then set it in the wall. Secure the electrical box to a stud with screws.
Twist together the white electrical wire to the white wire of the vapor-resistant sauna light. Twist a wire nut over the wires. Twist together the black electrical wire to the black wire of the sauna light. Twist a wire nut over the wires. Use a screwdriver to attach the bare copper wire to the green wire of the sauna light.
Place the wires into the opening of the electrical box. Set the sauna light on the wall and secure it to the electrical box with screws.
Turn on the breaker for the sauna on the circuit panel. Turn on the sauna light by pressing the "Power" button.