I'm a little germaphobic so I avoid saunas myself. However, if you can overcome that strange fear I have then saunas are definitely beneficial for combating water retention. Why? Saunas cause you to sweat, which is one way to get rid of stubborn water retention. Sweating is a leading indicator your metabolism is "probably in high gear," which is what we strive for when trying to combat water retention.
Moreover, there is more to it than just combating water per se; we combat sodium also. Sodium ions get trapped underneath the skin, which could block a lot water from surfacing. Hence, taste your sweat when you are doing cardio, or when you are in a sauna. If your sweat tastes like salt then you are holding too much sodium. Stay in the sauna until your sweat tastes like pure water; which will indicate that the sodium is out, which means muscle-masking fluid has pretty much dissipated. Once your sweat starts to taste like water you are in business and water will start to release rapidly. Make sure you are drinking water while in a sauna so you can keep water flowing and prevent it from being trapped.
I would say, hit the sauna for about a 1/2 hour right after you weight train because your metabolism will already be amped up and you will be able to relax in the sauna and sweat out some excess water without wasting muscle..
Later on...