In Czech Republic & Slovakia it is usually a towel to sit on & being naked. Optionally you can wrap yourself in a larger towel or something like that. Most people respect it, but I did experience one woman being told to not wear swimming suit or leave the sauna area.
How is it in Denmark? I've seen beautiful saunas there, where you just jump to the sea to cool down. I NEED TO KNOW!
In Finland people are told to not wear swimsuits to sauna not because you absolutely have to be naked but because if you've been in a chlorinated pool the chemicals vaporize in the sauna and are harmful to breathe.