As Northern Mn largest builder of backyard storage sheds, I have always been asked to build or repair freestanding saunas. The truth is that a true sauna lover will get their sauna up right away. Sometimes they are crude shacks that still serve the need. After all firewood is cheap and most anything can burn wood, from a fire pit to a barrel stove. If hot enough , you don’t need insulation, heck you don’t even need shingles on the roof to get a steam bath.
I repaired many old saunas. The most common problems were frozen drains, cracked slabs, burned up walls. I fixed them with slatted drain thru floors, insulation with vapor barrier and insulated shingled roofs. These new makeovers needed less heat and didn’t get so dry as to become a fire danger. They also stay hot longer after you stop feeding the fire. You don’t need to keep stoking a fire to have a good sauna.
Anyway have fun!