Generally speaking, if you are a beginner just copy everyone else. I am unclear if you question relates to gay saunas with the explicit hope of what we Brits would call "a shag" or to the sauna in a standard hotel or gym. Either way, when in Rome do as the Romans do, and never underestimate the human capacity to sit in sexually frustrated silence in a hot box.
It is always easier to unwrap a bath towel and take it off if that's a convention, than to cover yourself with a hand towel if you slip in naked and suddenly discover a sign saying "nudity forbidden, no lewd conduct, offenders will be handed over to the police", which I have seen in one Asian spa. Also anticipation can be everything in building trust and rapport.
A colleague was once berated in gym in Saudi Arabia for baring his bum as he changed. Different places have different vibes so go in with an open mind and relax. Even if you don't get shagged the hot air will do wonders for your sinuses and circulation.