Some saunas are built next to a natural or manufactured water supply, like a lake, a stream, an old claw-foot tub. The idea is that you get yourself hot to the core, then go outside and immerse yourself in water to cool down to the core, and then start over again. It is indeed a very heady experience to be that hot and then to submerge yourself into a lake through the hole cut in the ice. If you have a weak heart, be careful. Do it in fresh, soft snow only.
Old snow develops a crust that can make a nasty cut in skin.
I know bathe inside the sauna itself. After you've gotten a really good sweat going, and you feel like you've released lots of stored toxins, and have replenished yourself by drinking lots of clean water, you can stand in the middle of the sauna and pour warm water all over yourself, and then scrub down with a luffa sponge to pull off all that dead yucky skin. Or, better yet, have someone else dribble water on you and scrub your back with the luffa. Collect a supply of cheap shoes that can get wet, like rubber thongs, or canvas slippers. Keep them in the dressing room of the sauna, so that people can slip them on when they step outside to cool off.