You should definitely try one of the 3 million saunas we have in Finland! With all due respect, Löyly is surely worth the experience & Allas Sea Pool is nice for swimming. But to see the way the Finns have enjoyed sauna for the past centuries, traditional wood-heated Kotiharjun Sauna in Kallio is one of the best in Helsinki!
Don’t expect a luxurious spa; already outside Kotiharjun Sauna, it goes easily unnoticed, as there’s only the legendary neon-lighted “Sauna” marking the entrance. The normal Finnish sauna is rather an ordinary everyday thing and a chance to relax cozily — and to socialize, which happens very easily at Kotiharjun Sauna even with complete strangers. Weekends may be so packed that I personally might consider Sauna Arla just around the corner as a more tranquil option.
Swimsuits are not recommended as a Finnish standard, but there’s nothing sexual about it that you shouldn’t even bring your towel inside the sauna. It’s actually cool, since in the sauna people are often more social than anywhere else. It really doesn’t make a difference if one’s a janitor or a CEO, everybody’s equal! Men and women have separate sides, though.
A common thing to do is to have a beer or two (drink at least water!). But you cannot buy it at Kotiharjun Sauna! Bring your own instead, like the locals. You can even use the fridge at the entrance to keep them cold! I normally bring my own toiletry & a towel, but you can also rent one.