I went on holiday to Sweden earlier this year and concieved whilst there - and used the saunas. My doc said I shouldn't worry about it. But to be on the safe side don't stay in for very long or go in when very hot - I'd take advice before you go if you can. (I wonder what the Scandinavians do, and if they have different advice to us!)
OK, drowninginlaundry has answered my question already - lots of posts all at the same time there! I guess it's the same as drinking, eating seafood etc - it's us to up to make the final judgement on what is safe and what isn't.