Sauna doors are the spot with the most potential for heat leaking out of a stoveroom. Due to this, most stoveroom doors are tight fitting, well insulated and small in size. The small size helps reduce heat loss while people are entering or leaving the stoveroom, while the tight fit prevents heat loss through the seams around the door. Stoveroom doors always open outward so that it is easy to exit without disturbing other people in the sauna. Sauna doors should never have a lock or latch that could potentially trap sauna users inside.

Some people install small windows in their saunas to let in small amounts of light and occasionally to take advantage of a view. Windows relieve the feeling of claustrophobia which some people experience in confined spaces. The only thing that prevents saunas from having large windows or skylights is the fact that glass is not nearly as good of an insulator as wood. Sauna experts recommend that windows should equal at least 5 percent of the floor area of the sauna.

Indoor wood plantation shutters can provide the right amount of light to an indoor sauna.

All saunas require fresh air. Effective ventilation systems include a fresh-air intake vent behind the stove near the base of the wall, and an exhaust flue located on the opposite wall near the ceiling of the sauna. People will often cut a few inches off the bottom of the door so that it can serve as the air intake vent.

Stoveroom interiors are almost always wood, although occasionally other material such as tile may be used. Wood is still preferable for most people in that it is a comforting feature that does not retain heat, and thus is not extremely hot to the touch even when heated. If you are building your sauna in the outdoors it is also possible to use a natural rock wall as one of the walls of your sauna and build your stoveroom around it.

The best woods for the interior of your sauna are soft, low density, heat resitant woods, such as redwood, cedar and pine. The wood should be knothole and sap free. Tongue and groove construction makes for an easy wall to install and also provides tight seams for good insulation.