If you’re looking for a private sauna session then stop by Capsule Inn Kinshicho. Its rooftop boasts a small sauna hut, featuring a stove directly imported from Finland, as well as two rotenburo open air baths. You can rent the entire space for four hours from 6pm to 10pm together with your friends (¥25,000 per person, four people maximum). The deal even includes a meal, such as freshly made sushi prepared onsite.
To make a reservation, you’ll have to call the venue (080 4402 6512). Or you can book a daytime session, limited to two or three hours, via the venue’s online booking page (in Japanese only).