I've not heard this about saunas before. If you get cold sores regularly, you might consider using antivirals suppressively or, if you have known triggers, before the events that usually trigger your outbreaks. A lady in my office has a husband who is a midget racer. When racing season starts was always getting outbreaks when she was out in the Sun at the track. I suggested that she get a scrip for generic acyclovir from her doc, which she did and starts taking it a few days before and during racing season... End of problem.
Any of the antivirals are usually effective for this are are among the safest drugs on the market. The drugs such as valtrex or famvir require somewhat less often doses, but are still on patent and are a LOT more expensive.