The major health benefits of saunas and how often you should use saunas to see a difference The major health benefits of saunas and how often you should use saunas to see a difference Margie Zable Fisher,Jason R. McKnightJan 1, 2021, 03:48 IST Saunas come with risks like dehydration, so make sure you're well hydrated before your session.FatCamera/Getty Images The traditional Finnish sauna, which takes place in a heated and enclosed wooden room, is the most popular sauna experience worldwide and therefore is what many studies are based on regarding sauna's health benefits. Sauna use may have a variety of health benefits, including helping the body release toxins, improving the cardiovascular system, and building up the immune system.