The Australian Sweat Bathing association advocates for sauna culture in Australia.
A Hot bath has benefits similar to exercise, so they claim.
Sauna practice in Australia
New South Wales
Best public sauna in Sydney: North Sydney Olympic pool at Milson’s point. Hot, great view, cheap. But no relaxing area, and you have to wear your swimmers. Bondi Icebergs is a similar situation but an even better view and a much worse sauna design.
Pricier, but naked-friendly for private rental, Nature’s Energy Newtown