Sauna is probably a stretch. Steamworks is a full blown bath house (and I mean that in the best possible way). There is a large wet area, including whirlpool, group showers, a sauna and larger steamroom with several nooks and benches (it's like a long hallway with little offshoot rooms), even a weight room. There's a second sauna an the third floor and showers on all floors. There's porn playing everywhere.
Otherwise, there are rooms to rent (or just get a locker), mazes to walk around, glory holes, slings, benches...you name it.
Overall, the place is large, clean, and safe (although use your head and store your valuables). I've only ever been in the evening, and the later you go, the bigger the crowd. But I have no doubt you could find a lunchtime crowd or after work crowd too.
It's not a covert cruising spot like your neighborhood Russian Bath or anything. It's there for sex, or watching, or whatever you want in between. I'm sure my other Chicago brethren can chime in.