I knew a guy that would bring a steak sealed in a vac seal bag to the gym and leave it in the sauna while he worked out. One hour later he was done working out and it was ready to eat too. Not sure I can actually recommend it to others but the novelty was interesting till they nearly kicked him out of the gym.
On a recent visit to Finland I found out that basically all supermarkets sell aluminium foil bags for the purpose of cooking sausages on the sauna stove while you use the sauna.