Looking for a plumbing person who can help out....

I was at a massage therapist several years ago, and I was asked if I
wanted a sauna prior to. (I have crippling arthritis in my back and
knees) I was put in an enclosed shower on a bench with some towels -
it was enclosed wall to floor with glass walls and doors. There was a
spigot at the floor that was turned on and it was piping in very hot
and very humid air into the shower. In short time it was nice and
toasty and my pain eased up.

I have been thinking about hiring a contractor to build a sauna for me
to help with my pain, but if I can just enclose my shower and do it
that way, I can save a fortune. A plumber for a couple hours beats
shelling out thousands for a sauna right now - so I can put it off and
use the money for other things. (Got a baby on the way) Does anyone
have any idea of how they did that? What do you think the source of
the air might have been? How was it "wet" air instead of "dry" air?

Thanks for any thoughts.