The most important layer in the room is one you will never see again, and habit puts it on the wrong side.

Shiny side in, on the sauna side of the insulation

Superior Saunas puts it plainly: the barrier installs behind the sauna wood paneling with the reflective side facing in toward you, meaning toward the sauna interior. It is stapled to the stud faces over the insulation, and the tongue and groove goes over it. The reason the orientation matters twice over is that the foil is doing two jobs at once. As a vapor barrier it has to be on the warm, wet side of the assembly to stop moisture entering the cavity at all. As a reflector it has to face the heat source to bounce radiant energy back into the room. Both requirements point the same way, so there is no trade-off to think about, only a habit to override.

Do not use the plastic sheeting you already own

Six mil polyethylene is the default vapor barrier in American construction and it is the wrong product here. Superior Saunas states that plastic vapor barriers should not be used for sauna construction because they deteriorate at over 200 degrees and no longer protect the walls from moisture. That is not a marginal performance difference, it is a material operating outside its range in a room specifically designed to get that hot. Aluminum foil barrier is the correct choice, it is stable at those temperatures, and Superior Saunas describes it as adding roughly 1R plus the reflective efficiency of foil radiating back through the paneling, which shortens warm-up and reduces running cost.

Aluminum foil tape, and nothing else, on every seam

This is the cheapest item in the build and the one that quietly decides whether the rest of it worked. Superior Saunas specifies overlapping seams by approximately two to three inches and sealing the joints with high-temperature aluminum foil tape, noting that other types of tape will deteriorate from the heat. Duct tape, house wrap tape and packing tape all fail in these conditions, and they fail invisibly behind finished paneling. Press the tape down properly rather than laying it on, and use the overlap figure on the instructions for the material you actually bought, since suppliers differ on whether that should be two to three inches or six.

One barrier only, and everything outside it has to breathe

This is the rule that gets broken by trying to be thorough. The foil on the sauna side should be the only impermeable layer in the wall. Anything on the other side, whether that is the existing wall of the room you are building inside or the exterior weather layer on an outdoor build, has to remain vapor-permeable so that any moisture which does get in can dry outward. Two barriers sandwich the framing between them, and a stud cavity with no drying path in either direction is worse than one with a mediocre barrier. In practice this also means using unfaced insulation batts rather than faced ones, since the facing would be a second barrier.

Every penetration, sealed, including the ones you add later

A perfectly installed field of barrier is defeated by a single unsealed hole, and the holes are where the interesting parts of the room are: the heater feed, light boxes, any conduit, the door frame, and the corners where planes meet. Seal all of them with foil tape as part of the barrier work rather than as a tidy-up afterward. The harder discipline is later, because the moment somebody adds a speaker, a light or a thermometer probe after the room is finished, they cut through the envelope and there is nothing to remind them. Anyone opening this wall in the future needs to know that the foil is not decoration.

Ceiling first, then walls, lapping downward

The order matters because gravity and vapor both go somewhere specific. Do the ceiling first, then run the walls so that the wall material laps over the ceiling barrier rather than under it, and continue down over the bottom plate. That way any moisture that reaches the barrier runs down the face of it instead of finding a seam edge to sit in. It is the same logic as lapping siding or flashing, applied to a layer nobody thinks of as a water-shedding surface. The ceiling is also the hottest surface in the room, so it is the least forgiving place to leave a gap.

Most kits do not include the envelope

This surprises people on both budget and schedule. Prefabricated sauna kits typically supply the paneling, benches, door and heater, and typically do not supply insulation or vapor barrier, which are sourced separately. Somebody who has bought what feels like a complete package can end up at framing stage without the two materials that determine whether the room lasts. Check the contents list against the wall assembly before ordering, and buy the foil and the foil tape at the same time as everything else so the build does not stop between insulation and paneling.

Inspect the whole envelope in the one moment it is visible

There is a single point in this build where the insulation is in, the barrier is up, the tape is on, and nothing is covered. That is the last time anyone will see any of it. Walk the entire room deliberately: every seam pressed down, every penetration sealed, no tears, the foil continuous from the bottom plate up the walls and across the ceiling, and no gaps around the door frame or the heater feed. Take photographs while you are at it, because the person who eventually services or modifies this room will have no other way of knowing what is behind the cedar.