If you feel a migraine in the making, taking a sauna can sometimes help to prevent the attack. But you should not use the sauna in the full throes of a migraine. Always listen to your body! If you suffer from tension-type headaches or migraines, using the sauna can relieve pain. But it could also intensify it. No two people react the same, so you’ll need to listen to your body carefully and experiment to find out what’s best for you.