For a quick heat up in winter and some deep relaxation, these new saunas in a kit are a great idea.
Look for insulated walls (think R-19) with some reflective material inside the sauna housing itself to keep the heat in. You can find an infra red heat “tent” kind of thingy for about $700 that uses standard 120 volts and mirrors the effectiveness of the “hot rocks”, but limits the internal temp to 120 degrees. If a tent doesn’t aesthetically satisfy, pay about $1000 more for a standard kit. And keep warm and healthy.
The obvious difference between the tent and the wooden structure is the permanence of the structure. If you are looking to have a kit that is up for a couple months each winter a tent may be for you. An all year sauna? A more sturdy structure would seem to be the way to go.
These kits appeal to anyone from the hands-off homeowner who will have a contractor or retailer complete the kit to the do it yourself adventurer. Keep in mind that if you do it yourself you need to be sure you do it right. Buy from a company that will answer your questions and support their product.