If sauna had weight loss effects, Finns wouldn't be in the top 5 of the fattest people in the world... Of course you might weigh less after going to the sauna, since by sweating you lose some water. But when it comes to fat, I don't believe there's any significant change in your body fat whether you go to the sauna or not. Think about it: you sit in the sauna for 10-15 minutes, maybe your body temperature goes up a little bit, but how much change does it make? Actually, when you go to the sauna, your body temperature rises only for 3-5 minutes and then drops back to normal (this is when you start sweating). So for weight loss I would recommend a diet and hard workout
Here's some information about sauna and weight loss.
I don't know about the rest of the world, but in Finland sauna has always been a place where you get clean. Finns respect sauna in a way, I don't really know how to explain it. Anyway, you should shower before sauna, always. It helps keeping the sauna clean, and also makes sitting there much nicer since your body and hair are wet already (the warmth and sweating might feel a little funny if you go there without showering). Afterwards you might want to take a cool shower and drink some water, this completes the relaxation