There is a small dry sauna (free) in the men's changing area - along with cool down showers and a place to sit, which is nice. The sauna holds around 4 or 5 guys, but it still gets the job done and is pretty nice.
The Persian Gardens have male / female dry and steam, which requires a fee.
Azamara Quest | New Orleans - Caribbean - French West Indies - 16 Nights October 2016
Celebrity Millennium | Transpacific Crossing - Vancouver BC to Shanghai - 15 Nights September 2015
Celebrity Eclipse | Southampton - Gibraltar, France, Rome and the Mediterranean September 2014
Diamond Princess | Whittier, Alaska to Beijing, China - 15 Nights September 2013