Quantity   Component name
1 × 100-240V Digital PID Temperature Controller + max.40A SSR + K Thermocouple Probe This will measure the sauna room temperature and when it gets above the temperature it's set to, the heater will be switched off.
1 × 90-260V AC/DC Dual 4 Digits LED Timer Countdown Time Counter 1 Alarm Relay S3G8 The timer can be set to preheat the sauna for a certain amount of time, and then cut off the power. This is just a safety measure that prevents you from leaving the sauna on when you've forgotten about it.
1 × IP65 waterproof enclosure We're dealing with lethal voltages so we should be careful not to get things wet.
1 × sauna heater 2 to 3 KW This will run on a normal wall socket
1 × electric cable with 2.5 mm^2 conductors and plug This cable should be able to withstand 13A of current, so it needs to be the proper diameter
1 × High temperature power cable Only a short bit, running from the heater to the wall. After that it's normal cable.
1 × Insulation I had various insulation material: rockwool and other thermal foam. Insulation is important because you don't need such a big heater then.
1 × aluminium foil and aluminium tape to clad all the walls so that it's waterproof
1 × red cedar wood This is the cheapest sauna wood that I could find, by a factor up to 7 times