Yes, it’s true! There is an actual sauna in a public space in Pest by the river where you can have an hour and a half to enjoy the heat, even with another five friends! The idea is realized by the genius Valyo (Város és Folyó Egyesület, city and river association) whose aim is to get the citizens of Budapest closer to the Danube. Besides the mobile sauna they have other great projects like the closing the Szabadság bridge for a few weekends during summer, when it turns into a giant public space without traffic. Awesome!
Back on topic: you only need to make a reservation on the English website of the sauna, grab your towel and some donation for the association then head to the southern side of the Rákóczi bridge (Rákóczi híd) where this little modified bus parks during winter. They provide nice sauna oils and even a shower (ok, it’s rather a gallon of fizzy water equipped with a showerhead, but it works perfectly).
If you are as lucky as I was last winter, you’ll have fresh snow around for refreshing yourself.