Copenhagen's main gay sauna is Amigo Sauna, hidden behind an unmarked glass door on Studiestræde in the city-centre Latin Quarter. Spread over three floors, it's the city's biggest, with a dry sauna and steam room, a labyrinth and dark room, cabins, video rooms and a bar. It's closed Mondays; check amigosauna.dk for current hours.
For a smaller, cruisier option, Body Bio in Vesterbro is a gay cruise club with a sauna, cabins and a maze, plus a midweek naked night. Between them they cover Copenhagen's dedicated gay sauna scene.