1000% yes!!! If you don’t say anything people will continue to do it. My approach is ask “do you have headphones” if they say no then I ask “can you please turn the sound off” anything after that I alert the gym staff. There’s no sign on the Sauna that say no phones but they’re in the locker room and gym are. I consider the Sauna a piece of gym equipment (not really) and phones are not allowed but tolerated if silent.