Safety considerations
Gas creates exhaust gases during combustion and because of this, your stove will need a flue to vent these exhaust gases outside. For the same reason, an external air intake is also needed, independent of the sauna's ventilation system. As gas is also volatile, you will need to hire an accredited gas fitter to install the pipework and connect the heater to the gas supply.
Control of the temperature is handled by a thermostat similar to those used for the electric models. Gas responds more quickly to temperature adjustments than electricity, but the difference is not normally noticeable, given the way heat is transferred.