If the training session was really heavy/high volume, I'd do a sauna the next day. Example: With Rut's ME BB stuff, I'd do a sauna the day after, in most cases.
Or, if available, about 6 hours post workout.
There was a time when my heavy sessions were at lunch (~11:30), and my accessory work was after work, around 5:30 PM. And I'd do a sauna after my evening session. You really need to watch your hydration. I'm pretty sure that if I went into the sauna dehydrated, and didn't hydrate during or immediately after, that some benefits were lost.
If the training session didn't elicit such a high level of DOMS or was relatively low volume, then I'd take a sauna right afterwards, definitely if it was a met con or BW conditioning session, unless those were really, really brutal.
I would also use the sauna as a place to stretch and lengthen tissue, using some of the long, low intensity stretches. That worked well, I thought.