Building your own sauna can be done with a little bit of carpentry know-how and does not have to be incredibly expensive. The best way to build a cheap sauna is to convert a wooden shed, or section off part of a shed, to become the structure of your sauna. The lumber required for building saunas can sometimes be scavenged, and therefore, can be acquired with little to no expense. One of the more expensive aspects of a sauna is usually the wood-burning stove to heat the sauna; luckily, those can be made with little expense, as well.
Decide whether or not you will use a shed for your sauna and acquire the materials needed for its basic outline if you will be framing it out yourself. Construct the frame using 2 X 4 or 2 X 6 lumber (the length of these boards will vary depending on the size you want your sauna to be) and space the pieces 16 inches apart from each other. Insulate your framing with thermal insulation, then screw tongue-and-groove cedar lumber to the inside and outside of your frame. The cedar siding will cover hot, exposed nails to prevent skin burns. (see reference 2)
Lay ceramic tile on the floor, and construct removable wooden flooring panels to go over the tile as an optional flooring, should the tiles get too hot or moist. Construct benches for lounging in the sauna, or convert a used, unvarnished futon to a bench. Set the futon up naturally, or cut it to fit the sauna. Just be sure no screws or nails are exposed, as they can burn your skin when the sauna gets hot. (see reference 2)
Construct a wood burning stove out of a converted propane gas bottle, to avoid the expense of buying a new stove. Remove the valve, and fill the gas bottle with water, letting it sit for a full day. Use an angle grinder to cut off the top of the bottle, where the rocks will be stored. Cut out a door at the bottom of the bottle. This is where you will store the wood. Create a circular cut near the top of the bottle, and connect the flue pipe to the bottle as a chimney for expelling smoke. (see reference 1) Protect the wall by installing fireproof panels (cement particle board) to surround the stove and the ceiling above it.
Place a metal bucket in the top of the gas bottle. Place granite rock, or any rock that will not burst when heated, into the bucket. (see references 1 and 2)
Try out the sauna without anyone in it at first, testing the various features and looking for any problems that may need to be fixed. Determine how long the fire needs to burn before the room is hot enough to heat the room and produce steam when water is added to the rocks. (see reference 1)