If you have a new home or rebuilding your house and you want to put a sauna inside the cheapest way is to get a sauna kit. If you have experience with wood, carving and precise measuring material then this is appropriate for you.
I would recommend that you get as much information about the type of wood that you should use before you jump in to fast. In Finland, they recommend particular wood that is good for a long lasting sauna. But most kits for saunas have the proper instructions to make a perfect sauna in your home.
Its funny that every home in Finland has a sauna, no matter what there economic status is. Having a sauna is like everyone else having a bathroom.
If you are going toward building your sauna yourself, make sure you doing it for the right reasons. Most likely you can get a tax right off because you can state that the sauna is in use for your health/ health reasons. That way if you get a professional to put in your sauna you will know it is built to last with the best material and everything.
After 5 years, you wouldn’t want to see your door falling off because of the damp area from the sauna or any type of mold.
I recommend speaking to a professional first. Especially from where you plan to purchase the sauna kit!