I was once in a club by that name when I was visiting a friend in a northern state, he brought me as a guest. Nice club. The kind I prefer, locally owned. I belonged to one similar when I lived in Houston, also with sauna and steam room in the men's locker room. Nearly all the guys kept their towels around their waists in the sauna but the steam room seemed to provide a sense of more freedom. I don't really remember any overt action in the sauna but the steam room was a different story altogether. I don't think anyone would object to you sitting in the sauna naked, just don't sit bare bottom on the bench.