All sauna rooms must be insulated and properly vented. These features are typically included in most sauna room packages.
Sauna rooms can be "built" two ways - room construction or a modular unit. When you construct a sauna room (generally known as Pre-Cut or Custom-Cut Rooms) you insulate the walls and ceiling with the provided insulation prior to installing the wall/ceiling boards. When you select a modular unit (generally known as Modular, Pre-Fab, Outdoor, Portable, Two-Piece, or Designer) the wall/ceiling panels come pre-insulated.
Venting in a sauna room is important for effective circulation of the heat throughout the sauna room. A sauna room would typically have a gap under the sauna door and then a wall vent beneath the benching, preferably opposite the door. This helps maintain proper room temperature.
Read more about Sauna Room Types
and what they include.