Well I don't think I would say don't do it, but I would say you must be very keen on how you do it. Having a well insulated building is exactly what you want in a sauna, (sorry Kirk) as most of the traditional styles are either made of wood, buried in the ground, or simple leather/felt/canvas domes (think sweat lodge.) Now I have been in a few hybrid cob saunas and found them rather nice, but I did notice some degradation of the cob in some areas. The best one I saw, in the cob style, was cordwood, or stacked wood style.
Now what I would come back to is more questions:
What are your goals for the sauna?
Do you have access to wood?
Have you done clay architecture before?
Have you any experiences with sweat lodges or saunas?
A hybrid is going to probably be your best solution if you want to experiment. If not, go with what works, and has for millenia.
I was inspired by Rob Roy's cordwood sauna;
even if I were to make one from cob, the humidity-regulating properties he discussed
—the way the log ends wick moisture to the outside, quickly—
would be a design element I'd seriously consider adding, to some extent.
...If you do a post and beam roof first,
you could put up some ferro-cob walls in a few days, say.
Using that as a non-structural skin, on the outside could be light-clay straw [8+"?],
plus a couple coats of plaster.
. . .
The ferro-cob I'm envisioning is just a simple thick-guage metal mesh, stretched tight —and tacked—
around [or inside] the post-and-beam structure. . . .
Starting from the bottom just build up using long-straw cob;
you could perhaps brace a piece of plywood on the opposite side, to make the application easier—
so the thick-guage fencing / concrete reinforcing mesh wouldn't flex so much—, or mirror your application with someone on the opposite side.
. . .
This concept interests me for use in a larger application,
however traditional / "full" walls of cob do provide such nice structural support for the roof.
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