My experience of using a sauna several times a week during winter months is that it causes me to have an immediate but short lasting, rise in my blood glucose.
At the sauna I went to, we used to dip in the river, pop into the sauna, do a couple more river dips during the session. Brilliant for internal beaming, yes I used to notice my sugar used to lower during the sauna session. The next day? Ah I used to pick up other people's bugs from the sauna so I used to get higher sugars following, a cranky immune system. It was so well worth it ;0)