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. You lose some insulating value, but IMO it's worth it. A lot of them. Saunas will take on multiple purposes, among which are the drying of wet clothes and towels. A very nice, efficient way to enhance a sauna is to embed the stove within a mountain of stones or bricks.