How to protect hair in sauna sessions is a reasonable question with a straightforward answer, and it matters more for some hair types than others. Dry heat pulls moisture out of the hair shaft and the scalp, and the fix is mostly about not letting it start dry rather than anything you buy.
Why heat is hard on hair
Hair is more porous and more fragile when it is hot, and dry air draws moisture from the shaft. The effect is cumulative rather than dramatic: one session does nothing you would notice, and daily sessions over months show up as dryness and brittleness, most in hair that is already porous, colored, bleached or tightly coiled.
Wet it first
The simplest protection is to rinse your hair with cool water before you go in, because hair already saturated with water absorbs less of the dry air's pull. A leave-in conditioner or a light oil over that adds a barrier. This costs nothing, takes a minute, and does more than any product sold for the purpose.
Cover it
A wool or felt sauna hat insulates your scalp and shades the hair from the hottest air, which is why it is standard equipment in hot traditional saunas for reasons beyond comfort. A damp cotton towel wrapped over the head does much the same for less. Either is more effective than anything applied to the hair alone.
After, and what is overstated
Rinse cool and condition, and avoid immediately following a session with heat styling. The claim that saunas cause hair loss is not supported; heat can make existing dryness and breakage worse but it does not change what is growing. If you are seeing hair loss, that is a clinician's question, not a sauna question.
Questions people ask about how to protect hair in sauna
Does a sauna damage hair?
Dry heat dries the shaft and scalp cumulatively, worst on porous, colored or bleached hair. A single session does nothing you would notice.
What is the single best thing to do?
Wet your hair with cool water before you go in. Hair already saturated absorbs far less of the dry air's pull.
Do saunas cause hair loss?
Not on any established evidence. Heat can worsen existing dryness and breakage. Actual hair loss is a question for a clinician.