This article is from the Nordic countries FAQ, by Antti Lahelma and Johan Olofsson, with numerous contributions by others.
Even though people are naked in sauna, Finns do not see
anything sex-related in their sauna tradition. Of course you
can have sex in there if you feel like it, but that is neither
a part of any tradition nor very comfortable. Women used to
give birth in saunas a long time ago, but the conceiving was
done mostly elsewhere. Massage parlours and other (sometimes
sexual) services that often come with a public sauna in the
red-light districts of big cities are unknown phenomena in
Finland. Going to sauna naked with all your family is not at
all perverted, as the reader might think. Instead, the sauna
tradition makes it natural and comfortable for children to
learn about human body, and for parents to tell them about it.
 
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