Before entering the sauna, you must shower.
Although in the United States, nudity is not very common and often illegal or very unusual, in Scandinavia, being nude around your friends or family is fairly common. In the sauna I visited outside of Stockholm, many women in the women's sauna were completely nude. In the mixed sauna (men and women), you could be nude or wear a towel. My friend spoke to a Swedish man who comes to this sauna twice a week.
One major difference between Finland (where saunas originated) and the rest of Scandinavia is that most Finnish families have saunas within their homes. They can sometimes be in individual apartments. While saunas are seen as luxurious in most other parts of the world (including Sweden, to some extent), it is a daily part of life in Finland.
There is a reason that saunas originated in one of the coldest regions of the world - they heat you up! Saunas are extremely popular in the wintertime where temperatures in Scandinavia can reach as low as -17 degrees Fahrenheit. Saunas are built out of wood, which is plentiful in Scandinavian countries.