There is no consensus.  The sauna provides different potential pros and cons. 

The sauna stimulates growth.  This is bad if you have mutant cells that will capitalize on that growth. 
This growth stimulation also could be good or bad depending on what your are aiming for.  For instance, in fasting, one goal is to reduce the body and hopefully clear out mutant cells.  Consequently, a sauna may not be good during these times.

Of course, sweating is one pathway for detoxification.

Then, there are different types of saunas.  Using tap water might not be good for the contaminants that vaporize.
Using light or NIR, if used too long, can cause damage.
FIR saunas, along with other electrical saunas, tend to give off a lot of EMF.   And, it is speculated this is particularly bad when combined with the growth aspect the sauna stimulates (by mercola).  Personally, knowing the biological affects of EMF, the combination is not bad (though constant EMF exposure is)