A friend that stayed in 2008 in Laos has told us that he went to a temple (Wat) in Vientiane where you can get a massage or try the "amazing" (he loved it) herbal sauna. Do you know more data about that (wat name, price, how to go, if it still exists)? Any detail will be welcome.
Sounds like you're referring to 'Wat Sok Pa Luang'. I haven't been, but a few of the people I was traveling with in Laos did go and seemed to enjoy it.
Any of the local taxi or tuk-tuk drivers will know how to get there. I don't recall the price, but I'm sure now that you know the name Google will be able to give you no end of information on it.