Do it! Finished our woodburning sauna a year ago and love it. Saved a bunch of money by collecting materials like sauna doors from Craigslist. Got an incredible deal on T & G cedar for the interior walls from buying a pallet of damaged shorts. Used everything we cut out as firewood in the sauna : )
Highly highly recommend you go to this guys site and read all of his posts on building your own sauna:
http://www.saunatimes.comI bought his ebook and it was definitely worth it, plus he offers to help answer questions along the way via email. I would also be happy to answer any questions you have. The 3 questions you have below are some key decisions you will have to make.
1 and 2: We used rock wool batt insulation in between studs, then layer over that w/ a reflective vapor barrier, then the cedar tongue and groove over that. Got the idea from the blog mentioned above. It works great.
3: I did exactly what you mention here and it has worked out great. I took the time to build a proper 12' x 12' patio w/ 1' pavers. Then we built the building on top of that. Any water just drains into the sand between the pavers or evaporates. We didn't want to use any pressure treated or glue seeing as though we do a lot of deep breathing in there. This idea helped us avoid having to build a drain that would have made it more complicated.
The 12 by 12 footprint includes a 4x12 covered porch, 6x8 changing room and 6x8 sauna room that can fit 5 people very comfortably. It's crucial that you don't build your ceilings too high. We built an outdoor cold shower to cool off between rounds. I can also help you pick out a stove at a good price as I spent a lot of time looking. I would recommend getting a proper sauna stove even though you can sometimes find normal wood stoves for cheap or free on craigslist.
All that said, it's a very difficult project to do well and "Cheap". You can definitely save some serious cash on some aspects (2 $500 doors for fifty bucks on CL), but it's still going to be difficult not to spend a few thousand bucks doing it the way I describe depending on the size.
1. Insulation in the walls, roof, and under the floor? I kind of like the idea of a structure that can breath- especially one going through some pretty crazy heat/moisture cycles.
2. Vapor barriers? Probably necessary if I use some kind of insulation, but I'm not really sure it's necessary on an outdoor sauna.
3. Flooring? I'm half tempted to just lay down some concrete pavers on the ground and build on top of that. Just let any water that falls to the floor drain naturally.
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