You can obtain the advantages of a sauna anytime. But while, some people like to pregame their exercise by heating their muscles in a sauna. It helps you loosen up but shouldn't replace your regular warm-up. However, when you are still a little dehydrated, using the sauna after your workout may negatively impact and cause dehydration unless you hydrate well. Therefore, you must have a drink that balances electrolytes and enjoy the feeling of loosening muscles and reducing exercise-related pain post a workout session.