Sauna is a Finnish invention so most terms concerning sauna culture have the Finnish origin. Many of them can not be translated into English. We should just understand their description and know their meaning.

1. Sauna
sau'na:
The word has several different meanings:
- a Finnish-style steam bath where the steam is produced through evaporation of water poured over heated rocks;
- a bathhouse or room for taking a steam bath;
- a dry heat bath;
- a room or enclosure for taking a dry heat bath.
The correct pronounciation for sauna is sow-na (as in "cow"), not saw-na. A stress is on the first syllable.
saunoa:
action of bathing in a sauna
saunoja:
a person bathing in a sauna.

2. Avantouinti
Avantouinti literally can be translated as "ice hole swimming" that means swimming in a frozen lake or sea. Swimmers make a hole in the ice covering a lake or a see. Swimmers can either take a quick plunge or swim for a few minutes. Avantouinti is believed to make people feel fresh and helps to resistance illnesses.

3. Kiuas
Kiuas is a stove, a case where hot rocks lie. The stove gives the more warmth the more stones it contains. Usually it is situated in the corner of a sauna. It is said that wood heated stove gives more pleasant warmth and aroma but today electronically heated up saunas are more common.
I think this sauna is cooling off, why don't you throw some water on the kiuas?

4. Lauteet
 Lauteet (singular laude) - are wooden benches, platforms in the sauna for people to sit on. They are of different stages: lower and higher, so the bathers can enjoy the hotter air close to the roof.

5. Löyly
Löyly means steam or vapour in sauna. To make the humidity rise in the sauna, water is thrown on the stones of the stove. Löyly is the resulting steam.
heittää löylyä:
the action of throwing water.
The steam is very hot (about 100 degrees Celsius) and makes the room temperature go up temporarily. Water carries heat much more efficiently than air. The steam is hottest higher near the roof. When bathers wants to avoid excessive heat they should go down on the lower stages of lauteet.

6. Vihta or vasta
A thick bunch of birch twigs, approx. 40 cm in lenght. In other words it is a broom, used to slap bathers to promote blood circulation and cleanse the skin.
Vihtoa:
the action of slapping.
The vihta is not used as a whip in order to hit. This action should make the skin tingle for a while. In the United States, instead of birch some people use cedar, as there birch is not so widely spread as in Finland. In Israel "tsaftsafa" or poplar is used.
The vihta is made in the summer, cutting and binding birch twigs that have a lot of leaves and tying them together. It should be a thick bunch of binding together tender branches, that should have many leaves as leaves make the slapping softer and more pleasant.