Tell us about yourself!
that would not be a sauna, that's a bunker. trust me, i'm finnish and i have built a few saunas before.
it would just go nuts because of the heat and steam (you do know the rocks are there for throwing water at them, right? hot rock+water=steam, which is good for your health), so no point there. there's really not that much of a risk of carbon monoxide if there's enough draft to keep the smoke going out of the chimney.