Time Out says
Embrace the Nordic ritual of sweating out your stresses in a sauna, by making the 15-minute bus journey from Slussen in the city centre to Hellasgården, a recreation area inside Nacka nature reserve. Here you’ll find separate male and female saunas, and yes, it is compulsory to strip off completely in both. Outside, there’s a jetty from which you can jump (or for the less brave, gingerly ease yourself) into the waters of Lake Källtorp to cool off. Locals make the leap year-round, with a hole drilled into the ice once it freezes over. At 65 SEK (around $8), entrance is cheap, and you can rent towels and padlocks for the changing room lockers if you don’t have your own.
Time Out tip: It’s worth combining a trip to Hellasgården’s sauna with one of the easy hiking trails around the lake. Check the giant map at the main entrance for inspiration.