a difference to the states might be that here in Germany visiting a sauna means going naked, no swimsuit. Besides a towel. Or two.
Saunas also became quiet in demand, offering all modern improvements you can think of, having lots of different kinds of saunas.
Besides the classical finish ones, hot and dry like you wrote, you find i.e. steam bathes like Hamam, Caldarium, Banja, irish ones, modern ones or soft ones.
Or saunas driven by special light. Or some having different odors, i.e. rosemary.
Also to rub oneself (or your partner) with ice, salt or honey is offered.
Especially honey can be very appealing in the warm to hot air, it's getting very liquid, like oil, tasty íf one likes to kiss sweet skin in the succeeding hours.
They offer lesser temperature, around 50 degree, but higher humidity, sometimes as high that it is very foggy in there. So foggy that visibility is reduced to some cm, enablng couples to get into sexual contact - unseen.
Another aspect is that modern saunas offer a large range of pools (warm, dark, salty like the dark sea, bubbling) with a very relaxative ambient atmosphere. It can be as dark that noone is really able to tell what the ones next to you are doing.
Some sauas are combined, i.e. steam bath with damped light.
Also offered are different rooms for relaxing, i.e. with roman envirement or large tent like ones with an arabic touch of 1001 nights. Some have large outdoor areas opened during summer times.
Can be stimulating.
During the later evening families are leaving and it's getting less crowdy. Imho still way to much people particularly with regard to men.
Of course in most saunas any sexual action is strictly unwanted, considered a criminal charge and answered with an immediate sending-off.
Maybe not to be caught red-handed is an option
It is possible to get into contact there, acting discreetly or to meet other couples there (if not announced in the web or you get flooded with a really large number of unwanted peeping Toms), can be a very nice kind of spending a day lasting until the next morning when the sauna is part of a (very) good, exklusive hotel.
Wie gesagt, vom Hörensagen und ich war selber noch nicht da. Ebenso vom Hörensagen: Im Revierpark Wischlingen in Dortmund soll in dieser Hinsicht mehr möglich sein. Und die Lago Therme in Herne, was ich persönlich bestätigen kann... 
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