Find proper stones - stones-for-sauna
Dig a little
Lay stones like igloo in two layers
Burn fire slowly, to heat up the stones evenly
After 1 hour you can use your fireplace as bakery
Remove the coal from inside and push the bread in
To bake the bread in 20 minutes
Now you can start heating up the place strongly.
Use fine-chopped wood (so the burning area is bigger, thus the amount of heat is increased)
Finaly, make the frame of your sauna
And cover it to keep the heat inside
Source:
Баня