I love a good sauna on a cold day (not that we get many cold days down here). The other posters are right, though, almost all weight lost will simply be water weight. The heat raises your metabolism a little for a short while, but not enough to make much of a difference.
One thing to remember about a sauna is that you're not supposed to just go in and sit constantly. Go in, let your body adjust to the heat, pour some water on the hot rocks and sit for a while longer. Every 15 to 30 minutes go outside the sauna and let your body cool, then go in again.
The Finns especially know how to sauna right. There are a lot of hints to be found on the Web.