Update December 2018 The Sauna is currently closed, as part of the wider Finnair non-Schengen lounge refurbishment. Lounge staff tell me it'll re-open lovely and refreshed in the spring
There really is a sauna in the lounge! It's only in the non-Schengen lounge. It's somewhat hidden, tucked away in the middle of the non-Schengen lounge complex, and anyone with access to the lounge is able to use it. Location wise, it's next to the showers, in the middle between the normal and premium halves of the lounge. Follow signs for Showers and Sauna
You don't need to book, and you don't need to bring anything
There's only one small sauna, I'd say it could probably only hold about 6 comfortably. It's a single unisex sauna, and the signs request that you keep yourself covered up with the towels provided. As such, you don't need to have remembered your swimwear, though wearing swimwear is permitted (which I gather to be unusual for Finland!)
Just next to the entrance to the sauna, after the shower rooms, are two changing areas, one for each gender. Inside those you'll find a couple of lockers, with keys you can take into the sauna, a shower, and lots of towels.
I'm not much of a sauna connoisseur, but it was certainly a sauna, hot, and made for a refreshing pause during a layover in Helsinki! :)