If you want to make your own sauna the first thing to decide is whether you want an electric, gas or wood burning stove.
Your choice will probably be influenced by where you live.
Country style living may mean that wood is a plentiful commodity and it won't pollute a pristine environment so a wood burning stove may be the best choice for you. It is also the choice that works the best so if it is practical it's the perfect choice.
If not, what are the alternatives?
Those who choose to make their own sauna find that although electric and gas stoves are used in sauna building they don't by any means match the wonderful smell and smooth feel of a wood stove.
However, if you live in a city they are definitely the most practical. You won't need to cut and prepare or carry wood or prime the fire and this type of sauna is easy to clean.
Gas stoves are about three times cheaper than the cost of an electric sauna but electric ones are still far more popular.
It is also possible that your local building code may prohibit the use of a wood stove or the requirements for building one may be pretty specific.