Mostly the sauna is a family thing (yes, the whole kernel family of parents and small children may go together to their own sauna, everyone's naked, until the children are close to puberty and men and women of family go separately; public saunas such as those in swimming halls or the traditional public washing facilities are strictly gender-segregated.)
Sauna is perhaps a bit more of a social happening than meditation, although there are some clear aspects of meditation as well. As of old, sauna is a "holy" place; you're not supposed to yell, as the house-elves would not like it. In traditional farms, sauna was were babies were born, and where the dead were washed, so it's a bit of a place of reverence. And it used to be the cleanest and often warmest part of the household.