A sauna is fine for relaxing, but it's not a workout. Something we do every day with our athletes is using hot and cold tubs. By alternating between hot and cold temperatures, the blood vessels dilate and constrict, so there's a pumping action. This increases blood flow, which is important for muscle recovery.
You don't need big tubs like you'd see in a locker room, either. You can get a similar effect in the shower by alternating warm and cold settings. Build up to longer durations under cold water if you work out in the morning. It'll leave you feeling energized, focused, and ready for the day.
For more info, check out these articles:
— Sue Falsone, Director of Performance Physical Therapy, Athletes' Performance