Wood fired or burning Sauna Heaters Most wood sauna heater are installed in an outdoor installation. You must install wood sauna heater much like a fireplace or wood stove. Options for wood heaters include water jackets and shower plumb in options that heat water. Wood Sauna Enthusiasts traditional wood burning saunas are very special. The traditional Finnish heat sauna with a wood fired sauna stove becomes the high point of the day. These wood sauna stoves are very efficient. They heat up the sauna quickly and burn less wood.