I can’t reply about the infrared sauna but I can relate my extended experience with a traditional Finnish sauna. The Finnish sauna is hotter.
For a couple of years before the pandemic I went to the sauna about 5 days per week. I wear an old MiniMed 722 and the Dexcom G6. I left the pump and external tubing in the locker-room for about a total of 45 minutes. The G6 CGM, of course, remained in place.
I can’t remember specifically but I likely compensated for the missed basal insulin by adding a little before and after via a manual bolus. This system worked quite well for me. A sauna habit is very healthy and your post reminds me that it’s a habit I need to restore!