A typical sauna might require a 6000-watt heater running at 240 volts and an ordinary 120-volt light fixture (take the tour to learn about choosing a heater and light). Such a heater would require a dedicated circuit rated at 40 amps and serviced with 8-gauge (i.e. very thick) electrical cable. With some types of heaters, you'll need to run your service line through the control panel and out to the heater; in other configurations, you run the service line directly to the heater, and the control panel connects with its own wiring. The more powerful heaters (above around 7.5 kilowatts) also require a contactor, which is just an auxiliary heavy-duty switch that receives on-off signals from the heater control panel. When you buy a high-power heater, the contactor should come with it.
To connect the dedicated supply line to your home's main breaker panel, you'll need to a double-pole (240v) breaker of the appropriate amperage and connect your heavy cable to it. Note that you can get yourself KILLED if you don't know what your doing. Learn about how to de-energize a breaker panel and what safety precautions you need to take. Of course, the safest way to do any work on a breaker panel is hire an electrician.
Your supply cable will have four heavy wires: two hot (black and red), one neutral (white), and one ground (bare). In a typical (North American) 120-volt circuit, the black wire delivers 120 volts into the device and the current exits the device via the neutral white wire. A 240-volt device like a sauna heater gets 120 volts from the black wire and another 120 volts from the red wire; the white wire isn't used at all. If you want to power the light from the same circuit as the heater, you'll use the black, white, and ground wires. You can run a thinner cable (for example, 12-gauge house wire) to the light, but if you're looking to satisfy building code, you may need to run the same heavy-gauge stuff all the way to the light.
If your sauna stands outdoors, use a length of outdoor-rated cable to make the jump from your house to the sauna. Alternatively, you can bury indoor cable inside PVC conduit. From the control panel to the heater, you only need two hot wires and a ground, so you can use cheaper two-wire cable (black & white, with ground) to run that last leg to the heater — that's why you see a hot white wire (substituting for red) in the photo above.
Rough in your wiring just before you begin installing insulation and be careful not to seal anything behind the vapor barrier until you are sure you won't need to access it later.
The hardest part is dealing with the thermostat sensor. Often the sensor is permanently connected to the control panel via a long coiled capillary tube that you have to be careful not to kink. And then you have to end up with the probe itself suspended inside the sauna, an inch or two below the ceiling. It takes some planning to get it into place without breaking anything. If you opt for a more sophisticated electronic control panel, it will likely come with an electronic temperature probe that connected by a thin—and easily managed—electric wire.
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