Yes, you can wear the sensor in the sauna. The temperature range of operation listed by the manufacturer is between 50 °F to 113 °F. That being said, members who have used the sensor in a sauna reported that it has worked just fine. It might not record readings since the sensor can turn off at a high temperature and turns back on when it returns to a normal temperature; or alternatively you may see a false spike during the sauna session.
Be careful not to accidentally bump the sensor off, as it is easier to fall off when we are sweaty. Make sure to wear the bandage over your sensor.