If you have the desire and time, it made some efforts to build a sauna yourself you can. Frankly, I find it difficult to submit without a country site outhouse as a sauna. Of course, every nation, and even in different localities have their own traditions and peculiarities in the construction of the bath. Fashion trends make the owners of cottages and country houses do Finnish sauna, Turkish bath, Japanese ofuro and other varieties of baths, but most still prefer traditional Russian sauna with steam bath, with high humidity, with the ability to whisk steam and observe other rituals of bathing and washing facilities procedures. Usually bath is the first building on the summer cottage, as it can be used as temporary housing during the construction of the house, which by the time of construction, and the cost exceeds the bath. By the construction of baths can be approached with varying degrees of thoroughness. Some Native American tribes, for example, make a depression in the ground, tamped it, dug a hole in the middle and fold back on the fire heated stones. Set top tent, splash water on the rocks and 'Steamed' in a closed tent.
If this is not for you, and you decide to go to the construction of baths with full responsibility, then before you will face many issues that need to be addressed. There are many construction options, even such seemingly simple structures like a sauna. This also applies to the foundation and walls, and roofing materials, and stoves, and many other aspects of construction work.