Most saunas have relatively low levels of humidity, between 20% and 30%. It's hard to keep high humidity levels when temperature rises. Other than that, it's generally suggested to not exceed 20 minutes in a sauna. Steam rooms on the other hand have higher humidity levels but lower temperature and it's not allowed to stay more than 15 minutes inside.

From personal experience I've never used a sauna for more than 10 minutes and I always carry a bottle of water with me inside.