I'm not a native English speaker and I was just wondering if take a sauna is a correct way to say that I'm going to sauna, the same way you can say take a shower. I have tried to search this up online, and the expression appears in some forum posts and guides but I can't find anything official.
Wiktionary has an appendix that includes collocations of 'take' and 'have'. It includes "'take'/'have' a bath" and "'take'/'have' a shower". 'Take' is more common in the US, 'have' in the UK.
The good news is that both terms are intelligible on both sides of the Pond and that most civilized people on either side wouldn't hold it against you that you used the less common, less preferred version.
I never take a shower or a sauna. To where would I take them? I typically shower (i.e. use the noun as a verb), but I'm not happy with sauna as a verb. I tend to "use the sauna" or "go into the sauna". I don't even like to "have" a shower or a sauna; to me this simply implies ownership. (I used to be able to "bathe" but I no longer have a bath, having replaced mine with a shower.)
I dislike both, but find "have" preferable to "take". Although, American probably favours "take".