Safety instructions
It's already been mentioned, but a wood-burning stove should ideally bring in air from outside the sauna so they don't suck oxygen out of the room. You will also need enough space in your design and surrounding insulation to accommodate a chimney. This is very important - smoke inhalation can be very dangerous. It is also important to make sure that the chimney is kept clean. How often it needs to be cleaned depends on how often you use the sauna and the type of wood you burn.
You may also want to consider placing the stove door on the outside of the sauna to reduce debris in the sauna and to prevent coal from falling in. If it's a small stove, remember that if you do this, you'll probably have to leave the sauna to add more wood etc.
Since the temperature of a wood-fired sauna cannot be accurately regulated with a thermostat as for a gas and electric stove, the temperature of your sauna is a result of training and experience. A good thermometer in the sauna and some practice will help you get the temperature right.