1. Remove the Drywall
First, remove all the drywall off the walls in the location where you plan to install the sauna. The only thing that should be left are the studs of the wall frame and ceiling.
2. Provide Electrical Wiring and Insulation
Create an electrical wire that runs into the future sauna that can provide light and electricity for the vent, and heater. To some this may seem easier said than done, so if in doubt hire a professional to deal with the electrical, get estimates and plan the budget accordingly. Then cover up the electrical wiring with some heavy duty insulation rolls that will help retain heat within the room and alleviate the strain placed on the heater.
On top of the insulation, add a layer of foil and staple the foil onto the walls and ceilings. Then use foil tape between the layers to keep everything closed off and prevent heat and/or vapor from escaping. If too much vapor is allowed to escape, it can damage the foundations of your home and travel to other rooms in the house.