A Missed Comment

One of my readers intended to post this and it didn't make a comment.  (I don't have any comments on posts and there are no "unmoderated" comments.)

"sauna's are good for weight loss because raising your body temperature is what burns calories. and that if you are going to start working out you might want to save the sauna for after the work out, keeps your temperature up and helps with the burn.
I also wondered if your sauna time maybe triggering your need to puke, i can't sauna, they give me headaches...."

It's entirely possible that the sauna triggered my need to throw up that one day.  When I used to work out a lot, I also noticed that if I ate anything within 4 hours of working out, my body would purge everything from my system.  It's possible that this is my body's reaction to "working out" and eating.

As for the headaches, I think I have your answer...  Sauna's are a good method of detoxing.  It causes the fat in your body to break down and release the toxins it has stored.  Headaches are a common detox symptom.  If you have a lot of toxins in your system, it can take 2-3 weeks of solid detox to clear up the system.  I've had caffeine detox take as long as two and a half weeks--causing nasty, painful headaches every day of that time. 

I suspect your headaches are detox headaches.  As the fat in your system is broken down by the sauna, the toxins hit your blood stream, causing the headaches.