As many in the north country can attest, one of life's great pleasures resides in the tradition of sauna-sitting in 180-plus-degree heat and throwing cool water on oven-hot stones to create a blast of steam (called loyly), followed by a jump in the lake, standing naked in subzero temperatures (or even a roll in the snow), or just relaxing on the cooling porch. To the uninitiated, there is a strange, alluring mystique to the art of Finnish sauna. But to an ever-increasing number of people-from their small urban saunas to backwoods and lakeside retreats-the culture and practice of...