In Finland sometimes we take advantage of the heat and we cook sausages on our sauna stove by wrapping them in aluminum foil and placing them on the hot rocks. You can still take a sauna normally and afterwards you have a cooked sausage to eat!
Our relatives always had a nice big piece of meat in there when we visited. Ofcourse they had at least three different saunas on the yard. The smoky sauna was mostly used for the cooking.