No matter what type of physical activity that you are doing that involves sweating, you need to keep your body hydrated. Chances are this concept has been drilled into your head since middle school and that is because it is vital to your health. When your body heat increases and then your body begins to sweat, the loss of water can have harmful effects. Thus, drinking water before and during use inside of a sauna is not only highly recommended, but practically mandatory.
The entire point of entering one in the first place is the health benefits it provides so not hydrating yourself would be contradicting the entire purpose of them. Plus, hydrating your body can help to flush out the toxins that are released when you sweat.