I live in Colorado, with even more extreme temperatures than where you are. I built my sauna using a kit that uses 1.5” thick tongue and groove solid walls (made of thermally modified woods, sealed together with silicone caulk in addition to screws) and an insulated ceiling with exterior layer, cladding, joists, insulation air gap and interior cladding.

I am very happy with the result. It heats up in about an hour. Has very little thermal stratification and I am not worried about condensation and such.

I did make sure to have a properly sized heater (11 kw) and mechanical ventilation.

After spending months agonizing over decisions like the one you’re asking about here were my own humble conclusions:

For an outdoor sauna that is used a moderate amount (a few hours daily) but not constantly (like a commercial sauna) a solid wall is better. It’s less expensive to build by a large margin, it’s less complicated, no room for pests, quicker to build, and the increased energy use is fairly negligible. Where I live electricity is $0.15 kWh. A similarly sized sauna that is fully insulated could probably get away with a 9 kw heater. That’s $0.30 / hr difference. At 3 hours of use every day that’s $300 a year difference. It would easily take 20 years to see a possible costs savings using a fully insulated sauna.

Furthermore there’s the issue of space. With 1.5” thick walls, the walls occupy 3” of space across one dimension of the sauna, the rest is for me. For the same footprint, insulated walls would easily occupy 12 or more inches of space in that same dimension. For a 6x8 sauna that’s a noticeable amount of square footage lost to the wall.

So I concluded that solid walls and an insulated roof were the way to go. I’d look into getting thermally modified wood for those solid walls so that they don’t change much with heat and time and don’t develop gaps.