Building a sauna isn´t that difficult after all. You should use softwoods for the walls and the ceiling. Also leave enough room for a door or a window if you wish. There are two main possibilities for saunas, indoor or outdoor saunas.
Before you start building one outdoors you have to check municipal by-laws if there are any limitations considering the size of your future sauna. But there is the big pro of an outdoor sauna as you can heat up there and then jump into the pool or hot tub also outdoors.
Cedar can withstand wind rain and other weather elements the best so it is a commonly used material. Be aware to build your foundation below frost line or your sauna will be ruined as soon as the ground thaws around spring.
Don´t forget fiberglass for insulation and you have to cover up the nails that you used as much as possible to keep you and your friends safe as these can get very hot. The needed pieces to build an outdoor or indoor sauna can be bought at the exact size from constructional shops.
Building an indoor sauna might require advice from a professional. Measure out the spot you want your sauna to be and get yourself the right tools. You can get help from every constructional shop or an architect. The advice is for free but the building of a sauna requires some money and lots of time.