Saunas should actually be really dry. The humidity is generally around 5-10% with some saunas going to 20%. Any higher will literally start to cook you as humid air conducts heat way better into your body.
The water splashes on the heating element are done to temporary raise the humidity a bit, so the sauna will start to feel hotter (due to the increase in heat conductivity). These spikes in humidity are generally not long enough to let moisture soak in the wood.
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