Mexico City has a handful of gay saunas, spread across the Centro and nearby neighborhoods rather than concentrated in one spot. They range from big multi-floor complexes to older, more basic bathhouses.
SoDoMe and Finisterre are the two best-known modern venues, with steam rooms, dry saunas, private cabins and busy weekend crowds. Club Olimpo, near the Zona Rosa area, and the long-running Baños San Ciprián round out the options for a more traditional bathhouse experience. Afternoons and early evenings are typically the busiest.
Bring your own towel or rent one at the door, and check current hours before you go. For the wider scene see the Gay Mexico City Guide.