How well a sauna performs largely comes down to the type of sauna you've chosen, and what it's supposed to do. Infrared saunas, for example, work very differently from steam saunas. Things that will most affect a sauna's performance are the size and design, and the ventilation system.
The size of your sauna affects how much fuel it uses, how long it takes to get hot, and how comfortable it is.
Proper ventilation in your sauna ensure that you're breathing fresh air, and help circulate heat around the room.
The accessories you choose for your sauna will allow you to use it the way it's meant to be used.