I often go to Finland on business travel and the hotel where I'm usually staying has separate saunas for men and women.
All the men I've seen there take a shower, walk to the sauna with the towel wrapped, unwrap the towel and sit on it, totally naked.
I've been there 10 times and nobody ever behaved differently...
...just to say that there was no point for me to "change the rules" and hide (of course, it's not forbidden).
I'm not proud of my penis but I try not to think about it and enjoy the experience.