I've never had an actual sauna, but I do worship my lovely little face sauna. My skin routine before a night out is to exfoliate the night before, then use a face sauna on the day - seriously glowing skin.
Facial saunas have to be one of the most simple beauty treatments ever. You take off the top piece (the purple bit), pour some water into the white section, put the top piece back on, then change the dial to '1'. The top piece is interchangeable with another one that just holds your nose (a nose sauna, basically). I had a leaflet with mine saying that you shouldn't use a face sauna for more than 20 minutes; I do it for 15 minutes and this seems enough.
If you haven't got a face sauna then you can just fill a bowl with boiling water then hold your head over it & put a towel over your head. It really opens up your pores and gets rid of whatever's lurking in them. I go for a bath/shower straight after using mine, then moisturise my face straight after. It seems to do the trick!
I'm not sure if most bloggers use face saunas but none of my friends "in real life" do so it seemed worth posting :)
P.S - sorry about the cheesy title.