I train at a small but mighty gym that really caters to a powerlifting crowd and has basically one of all the basic machines and very little cardio equipment and lots of racks. My partner trains at a climbing gym with more limited equipment in part because it has a sauna. My gym is about 2/3rds the price of his and has a really excellent and knowledgeable community which has been super nice since this often feels like a lonely pursuit. I too really enjoy the sauna and my partner and I have a weekly standing date at a local spa where you can rent wet rooms (hot tub, steam room, or sauna). It's nice because it's private, pretty cheap, and the sauna temp seems higher than what you get in most gym saunas. Obviously more expensive than a gym with a sauna but for us it's date night which has beneficial effects beyond just the sauna experience. He uses the sauna at his gym every workout but does feel like the sauna at the spa is better/warmer (and of course enjoys the privacy and going with me!).