To avoid a build-up of smoke within the sauna, you will need to erect a chimney or ventilation shaft if you decide to heat your sauna completely with wood. For people who like a more genuine sauna experience or who live in isolated places, these traditional Finnish-style saunas are ideal. Let's say you decide to use electric or infrared heating to run your outdoor sauna. The Infrared saunas will next need to be hardwired into your electrical box by an electrician, enabling your home to accommodate increased usage.