I actually don't use sauna right after hard workouts or races... I actually think heat immediately after a workout can slow muscle recovery... In those instances I prefer cold hydrotherapy, even including immersion in an ice bath...but definitely not for the faint of heart
The health benefits that I like saunas for are the sweating and possible resultant removal of toxins, the relaxation and stress reducing that it produces in me... and this is completely anecdotal, but I swear that I get fewer colds in the winter when I'm consistently using my sauna...