Neither is good for weight loss. You might lose a little bit of water from sweating, but when you have a glass of water with your dinner, you'll gain it back like a sponge in a bucket of water. If you don't replace the water, you could become ill. In fact, there have been several reports of death due to extreme dehydration practices used for weight loss.
A sauna or steam room may be great for relaxing, especially if you have sore muscles or are under stress. Some people think it does good things for the skin. If you enjoy using them, then don't stop, but don't count on burning any fat. If it did, I'd have one built in my house