You will want a wood that is hard and durable for your sauna headrest. Some common woods that are great for a portable backrest are Mahogany, Oak, and Teak. However, those types of wood can be expensive. A more affordable option that is still suitable for sauna is Cedar or Hemlock.
No matter, which wood you choose, your sauna will be greatly enhanced by a sauna headrest and you comfort will be elevated to a 5-star spa experience.