I'm very close to finishing, and I have used the sauna a few times already.
But I'm not continuing this project, because I am going to move house!
What's the biggest lesson that I have learned about building your own sauna?
The most important thing to keep the heat in is to prevent drafts. It is really important to close air gaps.
Secondly, I was worried how hot the sauna stove would be in respect to sitting close by. But that was no problem at all. Due to the double layered metal structure of the stove, I could touch the side of the stove, it was hardly warm. So I can safely make the next sauna smaller.
I am going to dismantle my sauna and rebuild it in the next house. I may make the sauna room a bit smaller still, because it is less work, it will make heating the room easier, it will use less material, and heating will become easier.