Greetings back from Finland 
first for Mike : All I meant with difficulty to build is that rarely a normal craftsman has the know-how to make a good sauna. In Finland there are lots of companies that build exclusely saunas and it used to be very mystical and still is in Finland. There are many non-written rules for sauna behavior i.e being too noisy is often seen as paus fax.
An old Finnish saying goes : you are in the sauna like you are in a church.
It is a very hard concept to explain for foreigner but I will try my best. I can tell more about sauna behavior etc.
to jeff : Well I am not expert of health so I did some homework too I am terribly sorry but my English isn't really so good so I would be able to express all these medical terms I was going to so this is an part of Wikipedia article.
Sauna may provide some relief to patients with asthma and chronic bronchitis, and may also alleviate pain and improve joint mobility in patients with rheumatic disease. The sauna does not cause drying of the skin, and may even benefit patients with psoriasis, although sweating may increase itching in patients with atopic dermatitis.
Contraindications to sauna include unstable angina pectoris, recent myocardial infarction, and severe aortic stenosis. Sauna is safe, however, for most people with stable coronary heart disease. It is not harmful to the aged or young even infants over 3 months in moderation and does not affect wound healing. Sauna use may reduce the incidence of the common cold, and temporarily relieve the symptoms. It increases performance in endurance sport, increases plasma volume and red cell volume in athletes, decreased systolic blood pressure, significantly improved exercise tolerance, increased peak respiratory oxygen uptake, and enhanced anaerobic threshold in chronic conditions.
Sauna plus multidisciplinary treatment may reduce chronic pain more effectively than multidisciplinary treatment alone. Sauna reduces chronic pain more effectively than cognitive behaviour therapy. It is indicated for rheumatic pain (with cold shower) but not for neuropathic pain. Is effective for appetite loss and mild depression.Indicated in reducing symptoms in Chronic Fatigue Syndrome, and rheumatoid arthritis,and indicated for anorexia nervosa. Sauna improves function in conditions such as, congestive heart failure, and high blood pressure, improves vasodilation, improves heart arrhythmia, and reduces heart rate on exercise. Sauna has been proposed for treatment of other conditions such as, glaucoma.Sjogren syndrome, chronic fatigue syndrome, fibromyalgia, anorexia nervosa, obstructive lung disease,recuperation after childbirth, and also for lifestyle related diseases of, diabetes, arteriosclerosis, obesity, hypertension, hyperlipidemia, atherosclerosis and smoking induced symptoms.
Sauna has also been found to reduce levels of stress hormones adrenalin and noradrenalin and to increase levels of ACTH, cortisol and beta endorphin. Sauna has been found to increase the hormone testosterone in men. Sauna also found to reduce prostaglandin F2alpha and protect against oxidative stress. It enhances activation of monocytes to bacteria and endotoxins.
Other benefits of saunas: It has shown that regular saunas combined with exercise therapy can efficiently clear organic chemicals, solvents,drugs, pharmaceuticals even PCBs and heavy metals from the body.
In addition a sauna followed by a cold shower has been shown to reduce pain in rheumatoid arthritis where pain is mediated by sensitised c-fibre sympathetics. Regular saunas have also been found to improve micro circulation reduce vasoconstriction and hypertension. Many symptoms of chronic illnesses may be due to vasoconstriction effects eg. cold sensitivity, pain even mood states, and sauna improves microcirculation and blood supply to constricted areas.Research has also shown that adaptation to cold through short term cold stimulus, as in cold swimming, immersion (or showers) has the added benefit of improving the body's anti oxidant capabilities, with increases in glutathione and reduction of uric acid, which may mean better handling of the stresses of illness. Those that are shown to involve reduced glutathione or increased glutathione use, include; cardiovascular conditions, pulmonary diseases, diabetes, inflammatory bowel diseases, cancer, osteoporosis, aging, and after pesticide exposure.Conditions involving oxidative stress include neuro degenerative diseases, CFS, bone fracture and others. Conditions in which increased uric acid may be a risk factor include, gout, metabolic disease and vascular diseases.
A reported study from the Thrombosis Institute in London into the effects of the cold bathing found that volunteers that followed a disciplined daily regime had increased immune white blood cells and the level of the bodies natural blood thinning enzymes substantially increased, improving micro circulation. It also stimulated the production of hormones such as testosterone in men, and boosted women's production of oestrogen. Cold water immersion raises thresholds of pain tolerance, and aids adaptation to cold, reduces muscle spasm, can influence the frequency of respiratory infections and improve subjective well-being. It may cause an immunological modulation in terms of the Th1-type pattern, which is a proinflammatory cytokine profile. It is involved in diseases such as arthritis, diabetes,inflammatory myopathies, inflammatory bowel disease, psoriasis, CFS, fibromyalgia, chronic pain, fatigue conditions, auto immune disease and other inflammatory conditions. Cold water adaptation reduced total cholesterol and LDL cholesterol, lowered plasma viscosity and blood pressure rate product. Cold water immersion reduces recovery time in athletes, enhances repeat performance and reduces exercise induced muscle damage.
Cold water exposure challenges both the neuro-endocrine and the immune systems, reduces stress hormones and attenuates their response. Increases ADH and cortisol and increases immunomodulatory cytokines. Cold water exposure and adaptation can modify the sensory functions of hypothalamic thermoregulatory centres to lower heat loss and produce less heat during cold exposure and have immunostimulating effects.The thermogenic action of adrenaline in cold exposure produces heat and may reduce this stress hormone. An important effect is the ability of sauna to use up excess sympathetic nerve tone in both the central and peripheral nervous systems and just as importantly use up excess levels of local tissue hormones involved in feedback loops to the hypothalamus, thus aiding recovery in chronic illness. The therapeutic sauna with hot cycle followed by a cold cycle brings the benefits of both, forces all the blood to flow gently and evenly outwards to the skin to cool off in the heat of the sauna, and then forces it to flow evenly inwards to protect and heat the vital organs of the body when suddenly cooled. With sauna, sections of the body with chronically deprived blood, increase supply and reduce oxidative stress. As the blood supply cycles into the organs and then out to the skin it acts like a pump bringing stored chemical toxins from remote areas of the body through the microcirculation to the skin to be removed in sweat.
The skin of our bodies is in effect another eliminatory organ so even when other organs are compromised in chronic illnesses or contamination, the skin through sweating can rid the body of such chemicals and toxins. The parasympathetic system governs sweat glands secretion and is increased by sauna. Sweating is used to eliminate toxic metals, just as iron loss in sweat increases with exercise in athletes. It has been shown with drugs such as caffeine, that delayed metabolic (organ) clearance was offset by a sizeable elimination in (skin) sweat by sauna. Sweat tests have shown pharmaceutical drugs are eliminated in sweat, narcotics, alkaloids and barbiturates are eliminated in sweat, and elimination increased with heat. Sweat analysis is also used for diagnosis of some disease, toxic metal excretion in sweat is used in diagnosis of chronic disease the result of contamination, and sweating used to eliminate toxic metals. The beneficial effects of therapeutic sauna are both temporary and long term, some benefits will last about 24 hrs. Adaptation and detoxification will occur after longer use when the practice can be suspended or continued if beneficial.
Relaxation, however, is often seen as major purpose. For me, among many others, there is nothing better than hot sauna after a hard day. The relaxation is not only cause by the heat, but it is very much spiritual to majority of Finns. I myself could say that sauna is a home for my spirit where it rests and rejuvenates
sauna is often seen as symbol of life too, since it is place of water and fire, both see as creative forces. The stove ( kius in Finnish) is the hearth of sauna, since it harbors the fire, which is often seen as life creating or life keeping element in the North. ( if you find that unfamiliar, imagine what do you think in -30 celcius temperature with cold blizzard all around you )
Also, the water you pour to the rocks, is called löyly. Löyly is very strange word since originally it meant "spirit" or "soul". Many surrounding countries have similar word for pouring water.
About the hair.. well I am a male with very short hair so I don't know much about that ^^ but in Finland you don't bring towels into the sauna, it is considered as faus pax. You go either naked or then in swimming suits if it is mix gender sauna. Usually naked though 
But I would let my hair to breath, instead of wrapping it. I don't see that sauna could do much bad to the hair, the opposite really
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