Gay Saunas in Helsinki
Finland gave the world the sauna, but it has exactly one gay sauna, and it's in Helsinki. We'd rather say that plainly than pad the list.
Sauna Con Hombres
Sauna Con Hombres is men-only, at Kruunuvuorenkatu 3 in Katajanokka, with the entrance between numbers 3 and 5. It took over from Sauna Vogue, and some guides still give Vogue's old Sturenkatu address, which is wrong now. Its website lists the hours as Wednesday, Thursday and Sunday 16:00–22:00 and Friday and Saturday 16:00–24:00, closed Monday and Tuesday, with last entry an hour before closing. Entry is €24, or €22 under 25, and includes a towel, condoms and lube.
It works on the Finnish model: shower, sauna, cool off, rest, repeat. There's a cruisy side for those who want it.
Other options
For cruising rather than sauna, Keltainen Ruusu (Yellow Rose) in Kamppi is a sex shop with a large adult cinema that MyHelsinki lists for its cruising area. The city's public saunas, such as Löyly on the seafront and Kotiharjun Sauna in Kallio, are good places to try the ritual, but they aren't gay venues.