In saunas --> saunoissa (stem is sauna, -ssa makes it inessive, -i- marks the plural, o is an additional trinket)

To saunas = saunoihin, saunoille (man, I'm getting confused myself. Basically, it ought to be "saunoiin" or something like that, but it's saunoihin. It's like very old fashioned Finnish, when people didn't like long vowels and they were skipped by adding the letter h between the vowels.)


Go to sauna = mennä saunaan.

The cases are a bit complicated because so very often you change the original word a bit. For example, star is tähti, but the genitive form is tähden, not tähtin, and when spoken, you drop the d, so it becomes tähen.