Yes it is safe to practice aromatherapy in sauna. Traditionally sauna is very appropriate place for aromatherapy. Depending on what sauna you have you can drop some aromatic oil directly on the hot stones, or have a candle with evaporating aromatic oils int he sauna room.

It is healthy to breathe the hot aromatic air, but you have to remember to watch your heart rhythm and if you cannot take more heat go outside or to the shower to cool down.

In traditional Finish sauna it is not only the oil that gives aroma to the sauna it is also natural plants. Birch leaves, pine branches and spruce are used in sauna aromatherapy. In modern sauna eucalyptus, mint and lavender oils are popular. However pine and honey aromas are also used in conventional sauna practices.

In general yes this is safe. But we have to keep in mind that there are numerous essential oils out there and some are quite toxic. Luckily, most of the toxic oils do not have a pleasant smell either such as tansy and wormwood. Still that is not the case 100% of the time so it is important to know the properties of the oils you intend to use.

Also keep in mind that some essential oils are photosensitizers due to the presence of coumarins and psoralens. Citrus oils, especially bergamot, are good examples. Photosensitizers increase the effects of sunlight and sunlamps on the skin increasing the risk of burns. This is primarily an issue in fair skinned people.

If you are adding oils to a tub or hot tub with water jets and filters I also recommend avoiding any resinous oils such as frankincense and myrrh. Resins and water do not mix and the resins can precipitate out plugging filters.

Some oils I do recommend are:

For relaxation I like orange oil. Some people prefer lavender, but it smells too "soapy" for my taste. I also like clay sage oil a lot, which is a euphoric oil. In other words it raises the mood making a person feel more relaxed and happy.

For skin health I like palmarosa or geranium. Both are estrogenic oils with nice scents. The estrogenic properties help to soften the skin. To help with skin healing there is blue chamomile or yarrow oils, which are both great sources of azulene. Azulene reduces inflammation and promotes healing.

I also like the smell of peppermint oil and it gives a nice "cooling" sensation.

Thank you!