Here's an interesting excerpt froma n interview with Emilio Guiterrez, Ph.D, who has been using FIR (Far-Infrared-Sauna) saunas to treat anorexia. The immediate better sleep of the subjects--virtually all of them--caught him by surprise because he was looking for other behavioral changes:

"The physiological effects of the sauna are quite similar to changes induced by physical exercise and are the result of the stimulation of the sympathetic nervous system and the activation of the hypothalamus-pituitary-adrenal hormonal axis. However, unlike what happens in excessive exercising, the sauna experience is really anxiolityc for AN patients. Presumably, this is related to a difference between sauna and physical exercise with respect to cathecolamines’ secretion. Whereas the increase in noradrenaline in the sauna is similar to that induced by physical exercise, the concentration of adrenaline in blood seems not to increase during the sauna. This is an important difference, which is related to the absence of mental stress after the sauna. This relaxation effect of sauna is reinforced by β-endorphins’ release in response to thermal stress.

Furthermore, the relaxation effect of sauna on joint and muscle tension and its pain-reducing effect is another remarkable difference with exercising. Probably, the absence of mental stress, and the muscular relaxation are pivotal to the sauna’s sleep induction we have observed with almost every patient. Sleep improvement is one of the very early consequences right after the first sauna sessions. Probably, this sleep induction is related to the improvement in one of the few physical concerns acknowledged by the patients: Their feeling of cold in the extremities. Their hands and feet are chronically vasoconstricted, which is perceived as a feeling of numbness and pain. The heated environment of the sauna ameliorates the limited circulation in the extremities. Quite often, the patients show us with delight their previous acrocyanosed hands that turned to a healthy color after leaving the sauna."