T2 and used to use saunas on a near regular daily basis as a "reward" for my exercise routine. Immediately after low intensity workout I can be fairly low, but a bit higher if the intensity or duration increases significantly. I value the long term effect for longer intensity more than the slightly lowered BG levels, so I tend to go with that (well, used to anyways - now that I've reached my target weight, I'm upping the intensity and reducing time).
If I also read immediately after sauna, my experience was a significant rise in BG, however it didn't take too long to get down to normal values - probably the effects of exercising lasting a while.
Note that at the time, my levels weren't alarmingly high, probably around 7 after sauna when it should have been 4-5 after workout. If that is your range, I don't think it would harm. If you are quite a bit higher, I wouldn't make matters worse, even if the effect is (for me) temporary.
I did eventually quit using it, but it was more because the thermostat was borked and it was hard to get good temperatures on it.
Since different for eveyrone, I suggest trying it out. Do some tests and see what happens and act accordingly.