hah I have not but I'd like to have a sauna in my future home regardless. Currently I'm in an apt and going to a sauna in nyc is not super appealing to me (cost, friction in working it into my day with having to go somewhere, etc), but when I move to the suburbs I definitely want to get one.
There also are commercial "apartment saunas", which are basically a tent with some heaters ready-made. Not sure if they fit the specific requirements here, but less improvisation.