I used to regularly use the sauna as a part of my recovery; I put it in at the end of my training week and used a protocol of 10 mins in a warm spa with strong jets, 10 mins in the sauna occassionally with some light stretching and 1 min in a very cold shower. I'd rotate through that 3 or 4 times and finish up. Afterwards I'd try to consume a few large glasses of water.
I found that it eased any tension in back and legs that had built up over the week and was particularly good for reducing/eliminating aches from blows I recieved whilst training.
I also found the whole process very mentally relaxing.
Definitely no substitute for more proven recovery methods but a very nice and useful addition.