Four, red heat bulbs from the hardware store are mounted on a piece of 1/2" plywood, 40" high and 15" wide. The unit is placed in a small bathroom or closet at least 4' long, 3' wide and 6' high. In addition to the wood and bulbs, you will need four flush-mount bulb sockets, fifteen feet of heavy lamp cord, a medium-heavy duty male wall plug and 8 wood screws to fasten the sockets to the plywood. An on-off switch and a thermometer are optional, but recommended.
Mount the sockets on the plywood in a diamond shape. The bottom socket is in the center, 1" from the bottom of the plywood. Two sockets are 28" from the bottom of the plywood and 10" apart. The top socket is centered on the plywood and 3" from the bottom. This should form a narrow diamond shape.
Large sockets sold as fixtures can only be wired from the back. Drilling the holes will be more work. You may find smaller flush mount sockets that can be wired from the front. Wire the sockets together in parallel so one bad bulb won"t disable the unit.
With each use, instead of plugging the unit in, it is easier to have a switch. The best is probably a wall switch that can handle 1000 watts. This requires an outlet box screwed to the plywood. Keep sweaty hands off the switch as they could cause a short.
The bulbs must be the red type, of 250 watts each. Do not use the clear ones as their spectrum is not correct. You must not touch the bulbs during use, or let water or anything touch them. Observe all cautions as with any appliance exposed to heat and moisture. If children or the disabled will use the unit, consider a protective screen. Bend some chicken or stucco wire around the bulbs and staple it to the wood. Another way is to recess the bulbs or place them in reflectors. If building an enclosure, you could place the bulbs behind.
Lean the unit against a bathroom or closet wall. Secure it so it won"t fall over. The enclosure needs be small enough to hold the heat, and large enough to turn around. The other option is to build an enclosure of wood, glass or cardboard. Build the unit at least 4' by 3' by 6' high. Siding made of cedar or fir is a popular option. The siding slides into a frame and no nails are needed. Walls can be built as modules, then screwed together.
Plywood will also work, since the enclosure stays relatively cool. Some sauna companies use glass for at least one wall. Glass reflects far infrared energy but is not a good insulator. Cardboard is the least expensive. Tape or staple together two refrigerator boxes. Ventilating the sauna is a good idea. To allow gases to escape, leave a crack around the door or somewhere else high up.