I've worked as a lifeguard in some exclusive places, have gone to naturalist sites and adult nude recreation spots.
Where I worked, it varied. In the hotels, the saunas were by the pools, and coed. I was not permitted to use them. If people stayed in too long, I brought them ice water and fresh towels. Whenever I stopped by to do so, everyone was in swimwear or skimpy running outfits. It may have been a rule. This was 25 years ago.
In the condos where I worked, the saunas were in the locker rooms, and not coed like the hotels. When my boss was away, I used them if the pool was empty. The residents and fitness instructors always invited me, and the pools were underutilized. We entered in wet swimwear, which we set aside to dry. We sat nude on towels until the suits were dry or the receptionist came to warm me that swimmers had just checked in or been spotted on camera unsupervised. Some of the residents wore their towel. I always asked if it was okay with them if I just sat on mine, once I got hot. Nobody minded. When it was just the fitness instructors with me, we just stripped down, sat on towels and commenced to gossip. Sometimes they'd make not of my fitness progress and offer congratulations and advice. I asked nosy questions about their tattoos (especially this one pubic dragon). We were friends.
I never used the saunas at the naturist spots. Didn't get around to it.
At the nude rec places I was nude the second I left the lobby, including in the saunas. Towel goes everywhere. I sat on mine. Nobody ever wrapped up. Because it was permitted to engage in sexual activity, people definitely stared. Nobody ever touched me without permission.
I do whatever is customary wherever I am. If I'm not sure, I ask questions. If I think I make someone uncomfortable, I ask. If someone makes me uncomfortable, I alert management.
I used to go to the nude beach every Sunday. This is the kind of environment you are likely to encounter at your sauna. Most people will be polite. Most won't stare, though many will steal a few quick, furtive glances. Men may be expected to drape the towel over an erection. Everyone will be more comfortable nude if there are no dressed people around. Everyone will be expected to sit on a towel. If you become anxious, wrap your towel around your hips. If you still need time to adjust, close your eyes. Do not fall asleep. If you get sleepy, you need to open your eyes and take a break.
