If the head of a screw or nail must be exposed to a seating surface, recess the head. The most comfortable floor also is wood planks, with crevices between the planks to allow for swelling and also to allow for water to escape to the surface below. Concrete is nasty and cold, and requires a drain. Tile also requires a drain. Insulate walls and ceiling well.
Insulation is the key to a hot hot sauna.
Candles will melt. The best sauna lighting I've seen came from little lamps made by some friends who gave them away as Winter Solstice gifts. A small lamp, giving off soft small light, with a pleasant smell. Windows are nice. A window with a view from the sauna space to the outdoors, a window with a view from the sauna space to the changing room, a window in the changing room to the outdoors.