Lighting in a sauna… put some thought into this.  I have a few bright ideas that may help you.

dimmer: every sauna i’ve ever built has a light in it.  Every light is switched via a dimmer, just outside the sauna door on the changing room wall.  WHY? soft light is most preferred in a sauna.  the softer the better.  I like to nude up in a sauna and if i’m taking a sauna with guys, I don’t want the lighting to make me feel like i’m in a doctor’s office. get it?  A dimmer light allows for brighter light when reading in a sauna, and a brighter light is good when looking for a bottle opener or some product you lost under the bench.

candle: I have a good friend who has built saunas in remote areas, sans electricity.  Build your sauna with a window on the wall to the changing room (instead of a window in your sauna door).  The window sill in the changing room is a great spot to mount a candle holder.  The soft light from the candle casts a wonderful glow in your sauna room (and doesn’t melt the candle!).

window: a lot of hard core sauna nuts don’t like any light in their sauna, just a window facing the lapping shoreline on their pristine lake.  Who wouldn’t like that!!?  I have that gig at my lake sauna, and it’s priceless.  But indoor or an urban environment, a window to the changing room is the best gig.  Just imagine you’re at the lake!