Here is an answer to your question:

"Two special benefits make contact lenses ideal for the sauna: they do not "steam up" in humid conditions or as a result of temperature fluctuations. They always remain at body temperature. And when you are cooling down in the pool afterwards, the same applies as for "Swimming" and "Diving"."

This answer and a few others regarding contact lenses can be found by following this link:

[url=http://www.zeiss.com/de/ophtalmic/home_e.nsf/6f2a76c25f0237fbc12566fe003b25ff/274b0d790dd8a9d7c1256926002e0c83?OpenDocument#Can% 20I%20wear%20my%20contact%20lenses%20in%20t]The ABCs of Contact Lenses[/url]