Bench-building is like furniture-building: painstaking and unforgiving. Careful attention to detail at every step is critical to coming up with a nice, well-fitted result.
A typical sauna layout includes a lower rear bench, an upper rear bench, and a short upper side bench known as a "return." The benches simply rest on supports that are screwed into the wall, and can be lifted out and removed for cleaning and resanding. These benches are made entirely from clear cedar 2x4's, which nicely takes care of the "hot knot" issue. However, there is still a splintering issue related to the grain. A thin tight vertical grain is least prone to splintering, so you want to select those "pinstripe" surfaces for the upper (seating) surfaces. A wide wavy marble-like grain is very pretty but more prone to splintering.
If there's any part of the sauna that needs careful sanding, it's the benches. They will remain untreated, so sanding creates your finish. Western red cedar does produce a surprisingly hard, marble-smooth finish when very finely sanded. Use a random-orbit sander and the finest-grit paper you can find.
Before assembling the benches, install the permanent wall supports. Then measure the exact shape of the bench area so you can size your benches for a perfect fit. Remember, your space may not be exactly square.
The side "return" bench rests on a pair of supports just like the rear benches, but one of those supports is attached to the front of the upper rear bench. For added support, you can have the lower rear bench share this load, as shown in the photo below.
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