My parents have a sauna in their home (northern Europe), but it takes an hour or so to heat up. I connected the controller to an arduino with Wi-Fi shield and let the sauna run its own tiny Webserver that served a single page with a single button to turn it off or on. They would turn it on before they left work so it’s nice and warm after cycling home through the freezing cold.
Unmaintained code: https://github.com/maebert/SaunaControl