To answer the question: yes, I built or actually renewed our sauna last year. Having read this thread I want to share some ancient wisdom about how saunas are built - I'm from Finland, and we have a sauna per every 5 or six people so I've been in a few...
First of all, the material to use for pretty much everything except the floor, is wood. Yes there are trendy saunas built with glass or tile walls, but personally I think it's like, well five-o-clock coca cola or something.
There are good reasons to use wood. Large stone or glass surfaces absorb (or leak) heat, so you need a lot more heating power, or end up with a luke warm sauna, which is absolutely terrible. For seating and walls that you lean against, wood is good because other materials may feel too hot against bare skin. Light (as opposed to dense) wood is preferable.
Durability is not an issue. The most common species used here are spruce, aspen, alder, or sometimes pine. The important thing is that everything has to be well ventilated, so that the wood dries after use. Otherwise your sauna will start stinking like a sweatty buttocks well before any wood rots.
Panels are joined with tongue & groove and nailed on framing with thin nails, so movement won't be a problem either.
Someone mentioned heat treated aspen, and that's actually what I used for walls & ceiling, because of its colour. There are products suitable for colouring wood in sauna, but I don't like the idea... at typical 80-100 degrees it's bound to emit some nasty vapours. At least you'll smell the chemicals for weeks.