Absolutely! The sauna is like a super potion that compounds all the work you did. I hope to have a sauna at home one day - then I will know I have made it.
I've heard that the main benefit of the sauna is in getting us to sweat a lot and properly clean the pores that the body uses for 'breathing in' prana, especially the back. But you have to make sure to drink plenty of hot (not cold) water or else it won't work.