Here in Arizona, it is against health code to go to a public sauna totally nude. Most require that you wrap yourself in a towel, and for the ones that share common areas by the pool, require shorts.. There are some resorts and clothing optional resorts that allow nudity in their saunas, but very uncommon in public gyms here.
48, midwest, locker room, steam, sauna, hot tube, and jacuzzi.
The Gym management folks have talked to me about walking through the locker room nude. I was told it was rude to be so bold and it makes other uncomfortable.