I love doing this when I am skiing! Nothing like a hot sauna after a long day on the slopes, then hanging outside in the cold pool, then going to the hot tub to warm up and then the sauna to sweat it all off again. Feels great for my sore muscles and a great way to meet other vacationers hanging about at the spa/hotel. Definitely my favorite apres ski activity since I don't drink.
"After ski" - it starts on the slopes ;)