A sauna does not burn body fat or anything like that. The reason you have more muscle definition and loose weight after a sauna session is because your body is dehydrated.
During a sauna session, you can easily sweat out 4-5 pounds of water. If you are dehydrated, your muscles appear more defined. It's kind of like comparing a piece of beef jerky to a piece of steak. The beef jerky shows way more muscle fibres because it is dehydrated.
If you want to loose body fat - You need to perfect your diet and training. Its as simple as that. Fat is basically stored energy. To burn fat, you need to expend more calories then you consume.