There is a working sauna in Newtown Sauna (NTS) which is big enough for one punter, two at a squeeze. Different aromatic oils are available to drop into the water for a refreshing steam experience. Most punters don't use the sauna.
Each girl has a separate room a few steps away, each with a bed & shower. There's also a separate shower area if you wish.
I very much doubt Kenny would let you take a girl into the sauna!