I've recently started going to a sauna and steam-room again, I had not been in years but I love the intense heat. I used to practise Bikram Yoga on and off over the years and remember whenever I'd restart I'd naturally struggle with the heat, sometimes having to just lie on the mat to stay in the room. The instructors always suggested to at least stay in the room, even though you're body is panicking, try to sit on the mat or lie and just stay with it. Drinking water too is discouraged at it only cools the body, fighting the adaptation to the heat. So now I've have been experiencing the benefits of meditation in a sauna.