Start by being honest about which experience you’d actually use — humid steam heat, dry sauna warmth, or hydrotherapy soaking — rather than trying to fit all three into one project from the start. The feature you’d genuinely use every week beats the one that looks most impressive but sits unused after the first few months.
If you’re working within an existing bathroom’s footprint, steam or a spa bathtub are the more realistic starting points, since both can be added without the structural and ventilation demands of a dedicated sauna cabin. A sauna is worth planning only once you’ve confirmed you have the space and are committed to the larger investment it requires.