My brother decided he wanted a sauna in his new house so I convinced him to let me also install a TV and sound system in it to make the heat and humidity a little more bearable :)
In the original house plans there was a large storage closet off the garage where the back wall of the closet actually abutted the back wall of the master bathroom so we built the sauna inside the closet sort of like a room within a room concept where we could still access the exterior and roof of the sauna via the closet door in the garage. We installed the door to the sauna itself inside the bathroom. Here it is before the tile was laid.
I also installed a whole house audio system with a pair of speakers and volume control in every room driven by a central amplifier so I installed an A/B switch in the control panel outside the sauna alongside the whole house audio volume control so you can switch between TV audio and whole house audio.