First of all check with your physician if you have conditions that could be affected by higher heat levels (ie high blood pressure or heart conditions to name two)
If you are in good health a sauna should be treated with respect...not too hot! Drink plenty of fluids, before during and after (non-alcoholic).
If you are uncomfortable, go cool off in the dressing area in between and drink fluids before resuming. Enjoying a sauna should be done to your own comfort levels. Some people never even take the steam, enjoying a very warm room to relax and loosen the muscles!