I am doing the same thing, for the same reasons--here's some tips:
lay a wall foundation of cement blocks, and leave 2" showing on the inside (below your paneling) it should prevent sweat stains from forming on the lower paneling
leave the inner lumber unfinished. no treating, no stain, no paint, nothing.
a suitable door can be made with paneling and plywood, but I'll probably purchase a door as well.
build at least the benches and backrest out of clear (that is, knotless) wood. knots become hotspots which can and will burn skin if touched.
blind nail everything, nail heads will definately burn. use aluminum coated nails.
insulation: walls, either 3" fiberglass or 1" poly; ceiling, 6" fiberglass or 2" poly; you also need a metal heat sheild to help keep the heat in. it is stapled between the insulation and the inside paneling
Nordic white spruce is the traditional finnish sauna wood, but cedar, aspen, redwood, etc. work fine
do not use any glass fixtures. do not have exposed metal, ceramic, etc., as it will get very hot
Tho lower the ceiling, the more efficent your sauna will be.
If you skimp on the heater, be ready for disapointment. I have heard many stories about problems with the "feel" of the heat from the cheaper electric heaters.
I'm using the concrete floor and building a pull-up wooden grate with a drain underneath (much easier to clean than a solid wood floor!)
I'm also building a changing room and shower adjacent to the hot room (I'm told that all three are part of a true sauna)